Transaction Data Tests of S&P 100 Call Option Pricing
- 1 December 1991
- journal article
- Published by JSTOR in Journal of Financial and Quantitative Analysis
- Vol. 26 (4) , 459
- https://doi.org/10.2307/2331406
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.Keywords
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