Alternative specifications of the errors in the Black-Scholes option-pricing model and various implied-variance formulas
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 21 (1986)
Issue (Month): 1 ()
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- Lyons, Richard K., 1988.
"Tests of the foreign exchange risk premium using the expected second moments implied by option pricing,"
Journal of International Money and Finance,
Elsevier, vol. 7(1), pages 91-108, March.
- Richard K. Lyons, 1986. "Tests of the foreign exchange risk premium using the expected second moments implied by option pricing," International Finance Discussion Papers 290, Board of Governors of the Federal Reserve System (U.S.).
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