Transaction Data Tests of S&P 100 Call Option Pricing

This paper examines the pricing of S&P 100 calls using 14 months of transactions data. We find that market prices of S&P 100 calls differ systematically from Black-Scholes values. The biases in Black-Scholes model prices are both statistically and economically significant and correspond to biases that arise if market prices incorporate a stochastically changing volatility of the index.

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Year of publication:	1991
Authors:	Sheikh, Aamir M.
Published in:	Journal of Financial and Quantitative Analysis. - Cambridge University Press. - Vol. 26.1991, 04, p. 459-475
Publisher:	Cambridge University Press
Description of contents:	Abstract [journals.cambridge.org]

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005139279