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- W3122017267 abstract "This paper explores the impact of volatility estimation methods on theoretical option values based upon the Black-Scholes-Merton (BSM) model. Volatility is the only input used in the BSM model that cannot be observed in the market or a priori determined in a contract. Thus, properly calculating volatility is crucial. Two approaches to estimate volatility are implied volatility and historical prices. Iterative techniques are applied, based on daily S&P index options. Additionally, using option data on S&P 500 Index listed on the Chicago Board of Options Exchange, historical volatility can be estimated." @default.
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- W3122017267 date "2013-02-01" @default.
- W3122017267 modified "2023-09-27" @default.
- W3122017267 title "Modeling and Estimating Volatility of Options on Standard & Poor’s 500 Index" @default.
- W3122017267 hasPublicationYear "2013" @default.
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