Kokoszczyński, Ryszard; Nehrebecka, Natalia; Sakowski, … - Wydział Nauk Ekonomicznych, Uniwersytet Warszawski - 2010
This paper compares option pricing models, based on Black model notion (Black, 1976), especially focusing on the volatility models implied in the process of pricing. We calculated the Black model with historical (BHV), implied (BIV) and several different types of realized (BRV) volatility...