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• W2114586013 abstract "INTRODUCTIONThe Black-Scholes (1973) option pricing model provides the foundationfor the modern theory of options valuation. In actual applications, how-ever, the model has certain well-known deficiencies. For example, whencalibrated to accurately price at-the-money options the Black-Scholes(1973) model often misprices deep in-the-money and deep out-of-the-money options. This model-anomalous behavior givesrisetowhatoptionsprofessionals call “volatility smiles.” A volatility smile is the skewed pat-tern that results from calculating implied volatilities across a range ofstrike prices for an option series. This phenomenon is not predicted bythe Black-Scholes (1973) model, since volatility is a property of the un-derlying instrument and the same implied volatility value should be ob-served across all options onthatinstrument.Volatilitysmilesaregenerallythought to result from the parsimonious assumptions used to derive theBlack-Scholes model. In particular, the Black-Scholes (1973) model as-sumes that security log prices follow a constant variance diffusion pro-cess. The constant variance assumption has been tested and rejected inearly studies by Beckers (1980), Black and Scholes (1972), Christie" @default.
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• W2114586013 date "1998-06-01" @default.
• W2114586013 modified "2023-09-28" @default.
• W2114586013 title "An empirical test of the Hull-White option pricing model" @default.
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• W2114586013 doi "https://doi.org/10.1002/(sici)1096-9934(199806)18:4<363::aid-fut1>3.0.co;2-k" @default.
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