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Unbiased estimation of the Black/Scholes formula

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  • Butler, J. S.
  • Schachter, Barry

Abstract

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  • Butler, J. S. & Schachter, Barry, 1986. "Unbiased estimation of the Black/Scholes formula," Journal of Financial Economics, Elsevier, vol. 15(3), pages 341-357, March.
  • Handle: RePEc:eee:jfinec:v:15:y:1986:i:3:p:341-357
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    Cited by:

    1. Peter C. B. Phillips & Jun Yu, 2009. "Simulation-Based Estimation of Contingent-Claims Prices," Review of Financial Studies, Society for Financial Studies, vol. 22(9), pages 3669-3705, September.
    2. 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.
    3. Sriplung, Kai-one, 1993. "Mispricing in the Black-Scholes model: an exploratory analysis," ISU General Staff Papers 1993010108000011187, Iowa State University, Department of Economics.
    4. David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
    5. Jingwei Liu & Xing Chen, 2012. "Implied volatility formula of European Power Option Pricing," Papers 1203.0599, arXiv.org.
    6. 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.
    7. 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.
    8. 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.
    9. 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.
    10. 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.
    11. 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.
    12. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

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