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- W2068202114 abstract "This study presents a piecewise linear weighting function for implied volatilities calculated from Black-Scholes call and put prices. A sensitivity analysis is conducted to compare Black-Scholes prices calculated using the weighted implied volatilities to American model prices. The analysis indicates that a relatively simple European model can provide close approximations to American prices." @default.
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- W2068202114 date "1989-05-01" @default.
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- W2068202114 title "A simple linear weighting scheme for Black-Scholes implied volatilities" @default.
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- W2068202114 doi "https://doi.org/10.1016/0378-4266(89)90069-1" @default.
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