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Empirical Properties of the Black-Scholes Formula Under Ideal Conditions

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  • Bhattacharya, Mihir

Abstract

Most of the recent empirical tests of the Black-Scholes option-pricing formula have been joint tests of three types of hypotheses:1) mathematical structure of the formula,2) measurement of formula inputs and outputs, and3) the efficiency of the listed option market.

Suggested Citation

  • Bhattacharya, Mihir, 1980. "Empirical Properties of the Black-Scholes Formula Under Ideal Conditions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(5), pages 1081-1105, December.
    • Handle: RePEc:cup:jfinqa:v:15:y:1980:i:05:p:1081-1105_01
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    Citations

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    Cited by:

    1. Alan L. Tucker, 1985. "Empirical Tests Of The Efficiency Of The Currency Option Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(4), pages 275-285, December.
    2. Matloob Ullah Khan & Ambrish Gupta & Sadaf Siraj, 2013. "Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market in India," International Journal of Economics and Financial Issues, Econjournals, vol. 3(1), pages 87-98.
    3. Peter Carr & Liuren Wu, 2014. "Static Hedging of Standard Options," Journal of Financial Econometrics, Oxford University Press, vol. 12(1), pages 3-46.
    4. Sriplung, Kai-one, 1993. "Mispricing in the Black-Scholes model: an exploratory analysis," ISU General Staff Papers 1993010108000011187, Iowa State University, Department of Economics.
    5. Tian, Yisong Sam, 1998. "A Trinomial Option Pricing Model Dependent on Skewness and Kurtosis," International Review of Economics & Finance, Elsevier, vol. 7(3), pages 315-330.
    6. Andrea Capotorti & Gianna Figa'-Talamanca, 2012. "On an implicit assessment of fuzzy volatility in the Black and Scholes environment," Quaderni del Dipartimento di Economia, Finanza e Statistica 106/2012, Università di Perugia, Dipartimento Economia.
    7. Ostermark, Ralf, 1998. "Call option pricing and replication under economic friction," European Journal of Operational Research, Elsevier, vol. 108(1), pages 184-195, July.
    8. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

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