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.