A source of unbiased implied volatility forecasts
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Bibliographic InfoPaper provided by Federal Reserve Bank of Atlanta in its series Working Paper with number 88-9.
Date of creation: 1988
Date of revision:
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- 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.
- Christopher J. Neely, 2004. "Implied volatility from options on gold futures: do statistical forecasts add value or simply paint the lilly?," Working Papers 2003-018, Federal Reserve Bank of St. Louis.
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