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CHANGING VOLATILITY AND THE PRICING OF OPTIONS ON STOCK INDEX FUTURES
Author(s) -
Park Hun Y.,
Sears R. Stephen
Publication year - 1985
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1985.tb00411.x
Subject(s) - stock index futures , futures contract , financial economics , volatility (finance) , economics , implied volatility , econometrics , valuation of options , black–scholes model , volatility smile , index (typography) , stock market index , empirical evidence , stock market , computer science , paleontology , philosophy , epistemology , horse , world wide web , biology
This paper presents empirical results regarding the suitability of the Black model for the pricing of options on stock index futures. Whaley's technique is used to present empirical evidence regarding the pricing biases of the model. Information provided by the implied volatilities suggests that model refinements should address the changing volatility issue.