Hallerbach (2004) derives an approximation formula to compute a Black-Scholes implied volatility. This formula is equivalent to equation (7) in Corrado and Miller (1996a), with the substitution of a geometric average of stock and strike prices in place of an arithmetic average. Ceteris paribus...

We examine the forecast quality of Chicago Board Options Exchange (CBOE) implied volatility indexes based on the Standard and Poor's 100 and Nasdaq 100 stock indexes. We find that the forecast quality of CBOE implied volatilities for the Samp;P 100 (VIX) has significantly improved in recent...

The academic literature generally concludes that the Black-Scholes model overstates the value of employee stock options (ESOs). In particular, because ESOs cannot be traded, employee risk aversion often elicits premature exercise. As a result, the ESO is less valuable than a traded option. An...