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- Title
EMPIRICAL PROPERTIES OF THE BLACK-SCHOLES FORMULA UNDER IDEAL CONDITIONS.
- Authors
Bhattacharya, Mihir
- Abstract
The article presents information on empirical properties of the Black-Scholes formula under ideal conditions. This report presents suggestions for two tests which isolate the hypothesis and reports that results of one of the tests. The other test is placed in a separate report. The scientists conclude that the formula exhibits some systematic biases in the pricing of call options. The second section discusses the drawbacks of previous tests. Analytics of discrete hedges are also briefly discussed.
- Subjects
ECONOMETRIC models; MATHEMATICAL formulas; MATHEMATICAL models of option; PRICING; INVESTMENT analysis; HEDGE funds
- Publication
Journal of Financial & Quantitative Analysis, 1980, Vol 15, Issue 5, p1081
- ISSN
0022-1090
- Publication type
Article
- DOI
10.2307/2330173