Jarrow, Robert A; Wiggins, James B - In: Journal of Economic Surveys 3 (1989) 1, pp. 59-81
This paper demonstrates that Black-Scholes implied volatilities can be used to value options in many situations where the assumptions of the Black-Scholes model are violated, including (1) alternative stock processes, (2) stochastic interest rates, and (3) market frictions. Given its...