The bias in Black-Scholes/Black implied volatility: An analysis of equity and energy markets

Author: Doran James   Ronn Ehud  

Publisher: Springer Publishing Company

ISSN: 1380-6645

Source: Review of Derivatives Research, Vol.8, Iss.3, 2005-12, pp. : 177-198

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract