search query: @indexterm INTEREST RATE OPTIONS / total: 15
reference: 5 / 15
| Author: | Philippatos, G. Gressis, N. Baird, P. III |
| Title: | Implicit volatility and the pricing of stock index and interest rate options in US markets |
| Journal: | Managerial Finance
1994 : VOL. 20:5/6, p. 79-89 |
| Index terms: | USA STOCK INDEX OPTIONS INTEREST RATE OPTIONS |
| Language: | eng |
| Abstract: | The implied standard deviation (ISD) of the underlying asset's return is obtained by substituting the values of observable variables into either the Black-Scholes or Black model and solving for the unobservable volitility variable. The framework employed in this paper utilizes the ISD and accounts explicitly for the pricing biases of these models. The aothors' model is applied successfully to the pricing of call options on a wide range of instruments. |
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