The Statistical Properties of Parameters Inferred From The Black-Scholes Formula  

Oleh:

Schachter, Barry ; Butler, J. S.

Jenis: Article from Bulletin/Magazine
Dalam koleksi: INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS vol. 5 no. 3 (1996), page 223-236.
Topik: parameters; statistical properties; parameters; inferred; black - scholes formula

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: II7 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

A large body of literature investigates various issues by using parameters inferred from the Black - Scholes formula. Little of this research conducts statistical tests of hypotheses, because the distributional properties of inferred parameters are unknown. As a result, conclusions are frequently reached based solely on economic significance. Discussions of economic significance are insufficient to draw conclusions when statistical significance is unknown. This paper presents a technique for deriving the distributional properties of inferred parameters and discusses the manner in which this information can be used to construct hypothesis tests. This paper also provides a rationale for the empirically observed superiority of ISDs obtained from at - the - money options. The results indicate that parameters inferred singly tend to have desirable properties. However, multiple - parameter estimates obtained simultaneously from option prices can be subject to substantial error if even one of the options used is not near the money.

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