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Bayesian forecasting of options prices : a natural framework for pooling historical and implied volatility information

Darsinos, Theofanis (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001626634

A simple formula for the insurance premium in the Black-Scholes model

Brenner, Menachem; Subrahmanyam, Marti G. - In: Banking review 6 (1998), pp. 43-49

Persistent link: https://www.econbiz.de/10001354099

When are options overpriced? : The Black-Scholes model and alternative characterisations of the pricing kernel

Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - 1999

Persistent link: https://www.econbiz.de/10001378686

When are options overpriced? : The Black-Scholes model and alternative characteristics of the pricing kernel

Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - 1999

Persistent link: https://www.econbiz.de/10001378810

The statistical properties of the Black-Scholes option

Ncube, Mthuli - In: Mathematical finance : an international journal of … 7 (1997) 3, pp. 287-305

Persistent link: https://www.econbiz.de/10001224012

Existence of unbiased estimators of the Black Scholes option price, other derivatives, and hedge ratios

Knight, John L. - In: Econometric theory 13 (1997) 6, pp. 791-807

Persistent link: https://www.econbiz.de/10001236167

When are options overpriced? : the Black-Scholes model and alternative characterisations of the pricing kernel

Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - 1999 - This draft: January 15, 1999

An important determinant of option prices is the elasticity of the pricing kernel used to price all claims in the economy. In this paper, we first show that for a given forward price of the underlying asset, option prices are higher when the elasticity of the pricing kernel is declining than...

Persistent link: https://www.econbiz.de/10011545120

When are options overpriced? : The Black-Scholes model and alternative characterisations of the pricing kernel

Franke, Günter; Stapleton, Richard C.; Subrahmanyam, … - In: European finance review : the official journal of the … 3 (1999) 1, pp. 79-102

Persistent link: https://www.econbiz.de/10001653159

Does the behaviour of the asset tell us anything about the option price formula? : A cautionary tale

Rogers, Leonard C. G.; Satchell, Stephen - In: Applied financial economics 10 (2000) 1, pp. 37-39

Persistent link: https://www.econbiz.de/10001525779

Bayesian analysis of the black-scholes option price

Darsinos, Theofanis; Satchell, Stephen - 2001

Persistent link: https://www.econbiz.de/10001570172