EMPIRICAL STUDY ON THE PERFORMANCES OF BLACK-SCHOLES MODEL FOR EVALUATING EUROPEAN OPTIONS
Year of publication: |
2009
|
---|---|
Authors: | Vasile, Emilia ; Armeanu, Dan |
Published in: |
Journal for Economic Forecasting. - Institutul de Prognoza Economica. - Vol. 6.2009, 1, p. 48-62
|
Publisher: |
Institutul de Prognoza Economica |
Subject: | options | Black-Scholes model | implicit volatility | moneyness | due term | volatility smile | volatility smirk | evaluation error |
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