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On biases reported in studies of the black-scholes option pricing model

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  • Hammer, Jerry A.

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  • Hammer, Jerry A., 1989. "On biases reported in studies of the black-scholes option pricing model," Journal of Economics and Business, Elsevier, vol. 41(2), pages 153-169, May.
    • Handle: RePEc:eee:jebusi:v:41:y:1989:i:2:p:153-169
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    Cited by:

    1. David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
    2. 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.
    3. Poon, Winnie P. H. & Duett, Edwin H., 1998. "An empirical examination of currency futures options under stochastic interest rates," Global Finance Journal, Elsevier, vol. 9(1), pages 29-50.

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