| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5089241 | Journal of Banking & Finance | 2013 | 13 Pages |
Abstract
⺠We test empirical properties of the theoretical Black-Scholes-Merton (BSM) model. ⺠We evaluate the predictive ability of various BSM existing modifications. ⺠We estimate historic volatility directly from market returns on firm value. ⺠Parsimonious models using our direct volatility perform better than other models. ⺠Simpler modelling approaches relying on market observable data should be adopted.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Andreas Charitou, Dionysia Dionysiou, Neophytos Lambertides, Lenos Trigeorgis,