[JBaF, 1996] estimator, has substantially higher approximation accuracy and extends over a wider region of moneyness. …

numerical tests. All the new formulas are easy to use and accurate for a wide range of option moneyness and time to expiration. …

the stock price process and test it on empirical data for four “momentum” stocks and their heavily traded options …

provided by the Black-Scholes model, which will be studied, given moneyness and due-term of options. … to European-type call options having as supportassets the CAC-40 money-market index. Our approach will be structured in …. Once this problem is solved, we will analyze the relationship existing between implicit volatility moneyness and due term …

volatility surfaces based on those European options written in the standard and poor (S&P) Nifty equity index. The stochastic … nature of implied volatility across strike price, time-to-expiration and moneyness violates the core assumption of the Black … moneyness, time-to-expiration and the liquidity of the strikes. The empirical work has been expressed by means of a simple …