What sources of data suitable for training approximations to Black-Scholes are freely available to academics?

My understanding is that the parameters to Black-Scholes are:

  • share price
  • strike price
  • risk-free interest rate
  • volatility (historically- estimated)
  • time until expiration

While share price and volatility would appear to be generally available (e.g. via Yahoo APIs) it's not clear to me where to obtain the remaining information.

  • $\begingroup$ Black-Scholes is a closed-form solution to a PDE. What about it are you trying to train? This can help people point you to the right data (that will probably still not be free, but your school will likely have a subscription). $\endgroup$ Apr 12 '16 at 14:18
  • $\begingroup$ Now edited for clarity. $\endgroup$ Apr 12 '16 at 14:28
  • $\begingroup$ For the purposes of pricing an option with Black Scholes, the only part of this that requires any judgement is the risk-free interest rate. For this, I believe it's common to use the interest rate of a government security that matures close to the expiration of the option. Historical option prices are available on WRDS. Note, however, that the option price using a computed historical volatility of the underlying likely won't match the prices that actually traded. This gives rise to the notion of "implied volatility". You can check out current options on Yahoo to verify this for yourself. $\endgroup$ Apr 12 '16 at 14:38

I guess you could use the following link for data for training approximations:



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