Accounting for Biases in Black-Scholes-Reference-Cited by-同舟云学术

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Accounting for Biases in Black-Scholes

Published:2004 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Backus David K.,Foresi Silverio,Wu Liuren

Publisher

Elsevier BV

Reference38 articles.

1. Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices

2. Mixed diffusion-jump process modeling of exchange rate movements;Vedat Akgiray;Review of Economics and Statistics,1988

3. Empirical Performance of Alternative Option Pricing Models;Gurdip Bakshi;Journal of Finance,1997

4. Pricing and Hedging LongTerm Options;Gurdip Bakshi;Journal of Econometrics,2000

Cited by 66 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Counting jumps: does the counting process count?;Quantitative Finance;2024-06-10

2. Effectiveness of deterministic option pricing models: new evidence from Nifty and Bank Nifty Index options;Journal of Asset Management;2024-02-20

3. Smiles & smirks: Volatility and leverage by jumps;European Journal of Operational Research;2022-05

4. An efficient method for pricing foreign currency options;Journal of International Financial Markets, Institutions and Money;2021-09

5. Sieve estimation of option-implied state price density;Journal of Econometrics;2021-09

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