FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W1878996971> ?p ?o ?g. }

• W1878996971 abstract "The empirical studies on the Black-Scholes (B-S) option pricing model have reported that the model tends to exhibit systematic biases with respect to the exercise price, time to expiration, and the stock's volatility. This paper attempts to test the B-S model with a new approach: derive the confidence interval of the model call option value based on the confidence interval of the. estimated variance. The test reports that even when the variance's confidence interval is considered, a systematic deviation between the theoretical “range” of the option price values and the observed market price still exist. If the stock variance is constant over time, the interpretation of the results is that the B-S model is wrong. However, if stock variance changes over time, the interpretation of the results is that the implied volatility in options market prices had a tendency to be significantly higher than the estimate that could have been obtained from historical data." @default.
• W1878996971 created "2016-06-24" @default.
• W1878996971 creator A5031935369 @default.
• W1878996971 creator A5054459198 @default.
• W1878996971 date "1987-10-01" @default.
• W1878996971 modified "2023-09-23" @default.
• W1878996971 title "An Empirical Test of the Black-Scholes Option Pricing Model and the Implied Variance: A Confidence Interval Approach" @default.
• W1878996971 cites W1816654404 @default.
• W1878996971 cites W2005157476 @default.
• W1878996971 cites W2044789577 @default.
• W1878996971 cites W2077791698 @default.
• W1878996971 cites W2088957698 @default.
• W1878996971 cites W2103104088 @default.
• W1878996971 cites W2107136434 @default.
• W1878996971 cites W2141676027 @default.
• W1878996971 cites W2142080386 @default.
• W1878996971 cites W2148338846 @default.
• W1878996971 cites W2161927407 @default.
• W1878996971 cites W4231057775 @default.
• W1878996971 cites W4238864853 @default.
• W1878996971 doi "https://doi.org/10.1177/0148558x8700200403" @default.
• W1878996971 hasPublicationYear "1987" @default.
• W1878996971 type Work @default.
• W1878996971 sameAs 1878996971 @default.
• W1878996971 citedByCount "3" @default.
• W1878996971 countsByYear W18789969712018 @default.
• W1878996971 countsByYear W18789969712020 @default.
• W1878996971 crossrefType "journal-article" @default.
• W1878996971 hasAuthorship W1878996971A5031935369 @default.
• W1878996971 hasAuthorship W1878996971A5054459198 @default.
• W1878996971 hasConcept C105795698 @default.
• W1878996971 hasConcept C106159729 @default.
• W1878996971 hasConcept C114614502 @default.
• W1878996971 hasConcept C121955636 @default.
• W1878996971 hasConcept C126322002 @default.
• W1878996971 hasConcept C149782125 @default.
• W1878996971 hasConcept C162118730 @default.
• W1878996971 hasConcept C162324750 @default.
• W1878996971 hasConcept C163128081 @default.
• W1878996971 hasConcept C185592680 @default.
• W1878996971 hasConcept C1898038 @default.
• W1878996971 hasConcept C194483076 @default.
• W1878996971 hasConcept C196083921 @default.
• W1878996971 hasConcept C2776164194 @default.
• W1878996971 hasConcept C2778067643 @default.
• W1878996971 hasConcept C2780584464 @default.
• W1878996971 hasConcept C31903555 @default.
• W1878996971 hasConcept C33923547 @default.
• W1878996971 hasConcept C44249647 @default.
• W1878996971 hasConcept C534529494 @default.
• W1878996971 hasConcept C71924100 @default.
• W1878996971 hasConcept C91602232 @default.
• W1878996971 hasConceptScore W1878996971C105795698 @default.
• W1878996971 hasConceptScore W1878996971C106159729 @default.
• W1878996971 hasConceptScore W1878996971C114614502 @default.
• W1878996971 hasConceptScore W1878996971C121955636 @default.
• W1878996971 hasConceptScore W1878996971C126322002 @default.
• W1878996971 hasConceptScore W1878996971C149782125 @default.
• W1878996971 hasConceptScore W1878996971C162118730 @default.
• W1878996971 hasConceptScore W1878996971C162324750 @default.
• W1878996971 hasConceptScore W1878996971C163128081 @default.
• W1878996971 hasConceptScore W1878996971C185592680 @default.
• W1878996971 hasConceptScore W1878996971C1898038 @default.
• W1878996971 hasConceptScore W1878996971C194483076 @default.
• W1878996971 hasConceptScore W1878996971C196083921 @default.
• W1878996971 hasConceptScore W1878996971C2776164194 @default.
• W1878996971 hasConceptScore W1878996971C2778067643 @default.
• W1878996971 hasConceptScore W1878996971C2780584464 @default.
• W1878996971 hasConceptScore W1878996971C31903555 @default.
• W1878996971 hasConceptScore W1878996971C33923547 @default.
• W1878996971 hasConceptScore W1878996971C44249647 @default.
• W1878996971 hasConceptScore W1878996971C534529494 @default.
• W1878996971 hasConceptScore W1878996971C71924100 @default.
• W1878996971 hasConceptScore W1878996971C91602232 @default.
• W1878996971 hasLocation W18789969711 @default.
• W1878996971 hasOpenAccess W1878996971 @default.
• W1878996971 hasPrimaryLocation W18789969711 @default.
• W1878996971 hasRelatedWork W1494559615 @default.
• W1878996971 hasRelatedWork W1545519461 @default.
• W1878996971 hasRelatedWork W2029323378 @default.
• W1878996971 hasRelatedWork W2036185216 @default.
• W1878996971 hasRelatedWork W2057781719 @default.
• W1878996971 hasRelatedWork W2063432900 @default.
• W1878996971 hasRelatedWork W2080852372 @default.
• W1878996971 hasRelatedWork W2086026186 @default.
• W1878996971 hasRelatedWork W2093823297 @default.
• W1878996971 hasRelatedWork W2141695136 @default.
• W1878996971 hasRelatedWork W2155844741 @default.
• W1878996971 hasRelatedWork W2352179899 @default.
• W1878996971 hasRelatedWork W2385446452 @default.
• W1878996971 hasRelatedWork W2402468507 @default.
• W1878996971 hasRelatedWork W3121148446 @default.
• W1878996971 hasRelatedWork W3151354894 @default.
• W1878996971 hasRelatedWork W3190407763 @default.
• W1878996971 hasRelatedWork W381430416 @default.
• W1878996971 hasRelatedWork W594667352 @default.
• W1878996971 hasRelatedWork W3124860674 @default.
• W1878996971 isParatext "false" @default.
• W1878996971 isRetracted "false" @default.
• W1878996971 magId "1878996971" @default.

• next