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Unbiased estimation of the Black/Scholes formula

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  • Butler, J. S.
  • Schachter, Barry

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File URL: http://www.sciencedirect.com/science/article/B6VBX-45KNKRH-2V/2/f6ab067e3877a2fb30023e948462ea12
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 15 (1986)
Issue (Month): 3 (March)
Pages: 341-357

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Handle: RePEc:eee:jfinec:v:15:y:1986:i:3:p:341-357

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Web page: http://www.elsevier.com/locate/inca/505576

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Cited by:
  1. Nikkinen, Jussi & Sahlstrom, Petri, 2004. "International transmission of uncertainty implicit in stock index option prices," Global Finance Journal, Elsevier, vol. 15(1), pages 1-15.
  2. Popovic, Ray & Goldsman, David, 2012. "On valuing and hedging European options when volatility is estimated directly," European Journal of Operational Research, Elsevier, vol. 218(1), pages 124-131.
  3. Peter C.B.Phillips & Jun Yu, . "Simulation-based Estimation of Contingent Claims Prices," Working Papers CoFie-05-2008, Sim Kee Boon Institute for Financial Economics.
  4. Peter Bardsley & Paul Cashin, 1990. "Underwriting Assistance To The Australian Wheat Industry — An Application Of Option Pricing Theory," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 34(3), pages 212-222, December.
  5. Butler, J. S. & Schachter, Barry, 1996. "The statistical properties of parameters inferred from the black-scholes formula," International Review of Financial Analysis, Elsevier, vol. 5(3), pages 223-235.
  6. Engle, Robert F, 1998. "Macroeconomic Announcements and Volatility of Treasury Futures," University of California at San Diego, Economics Working Paper Series qt7rd4g3bk, Department of Economics, UC San Diego.
  7. Darsinos, T. & Satchell, S.E., 2001. "Bayesian Analysis of the Black-Scholes Option Price," Cambridge Working Papers in Economics 0102, Faculty of Economics, University of Cambridge.
  8. Jingwei Liu & Xing Chen, 2012. "Implied volatility formula of European Power Option Pricing," Papers 1203.0599, arXiv.org.
  9. Darsinos, T. & Satchell, S.E., 2002. "The Implied Distribution for Stocks of Companies with Warrants and/or Executive Stock Options," Cambridge Working Papers in Economics 0217, Faculty of Economics, University of Cambridge.

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