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The impact of variance estimation in option valuation models

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  • Boyle, Phelim P.
  • Ananthanarayanan, A. L.
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    File URL: http://www.sciencedirect.com/science/article/B6VBX-45NHWFB-18/2/35ff28c4e67309b5c7f86b89525f6457
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    Bibliographic Info

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

    Volume (Year): 5 (1977)
    Issue (Month): 3 (December)
    Pages: 375-387

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    Handle: RePEc:eee:jfinec:v:5:y:1977:i:3:p:375-387

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

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    Cited by:
    1. 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.
    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. Walter Schachermayer & Josef Teichmann, 2007. "How close are the option pricing formulas of Bachelier and Black-Merton-Scholes?," Papers 0711.1272, arXiv.org.
    5. Kristensen, Dennis, 2008. "Estimation of partial differential equations with applications in finance," Journal of Econometrics, Elsevier, vol. 144(2), pages 392-408, June.
    6. 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.

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