Journal of Financial and Quantitative Analysis Vol. 26 No. 4 1991
Transaction Data Tests of S&P 100 Call Option Pricing
Abstract
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.
- DOI
- 10.2307/2331406
- Volume
- 26
- Issue
- 4
- Pages
- 459
- Sources
- crossref openalex