EVALUATING FORECASTS OF CORRELATION USING OPTION PRICING - Black and Scholes assumed that the underlying asset's volatility was constant and known in deriving their option pricing model. But as soon as the model was applied to real data, it became clear that volatilities change over time and must be forecasted. With complex derivatives that depend on two or more underlying assets now being ...
| Authors: | Gibson, Michael S. ; Boyer, Brian H. |
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| Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Institutional Investor, ISSN 1074-1240, ZDB-ID 11690045. - Vol. 19980, 00600, p. 18-38
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