A few recent papers of note

BVWireIssue #225-4
June 30, 2021

valuation methods & approaches
forecast, black scholes option pricing model, revenue forecasts

“Forecasting: Theory and Practice” is a recently updated encyclopedic presentation of forecasting methods in theory and practice. Even though it’s quite long (268 pages), the authors do not claim it’s an exhaustive list of forecasting methods and applications. The paper is freely available for download.

Another paper finds that there are problems with the Black-Scholes options pricing formulas during times of market stress. The authors examined two periods—the subprime crisis (October 2008) and the onset of the COVID-19 pandemic (March 2020)—and found that the “accuracy of these formulas is very poor.” A link to the paper is here, and it’s available for a charge.

Thanks to Dr. Michael A. Crain (Florida Atlantic University) for alerting us to these papers.

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