Yin, Yun; Moffatt, Peter G. - In: Journal of Risk and Financial Management 12 (2019) 4, pp. 1-12
We address a number of technical problems with the popular Practitioner Black-Scholes (PBS) method for valuing options …. The method amounts to a two-stage procedure in which fitted values of implied volatilities (IV) from a linear regression … the market option price as the dependent variable and estimate the parameters of the IV equation by the method of non …