The bias in Black-Scholes/Black implied volatility: An analysis of equity and energy markets
Tags
Market Dynamics and VolatilityEconomics and EconometricsImplied volatilityVolatility smileEconomicsFutures contractVolatility (finance)Black–Scholes modelVolatility risk premiumVolatility swapForward volatilityEconometricsFinancial economicsEquity (law)Stochastic volatilityVolatility riskVariance swap