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Empirical Properties of the Black-Scholes Formula Under Ideal Conditions

Published online by Cambridge University Press:  06 April 2009

Mihir Bhattacharya
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Extract

Most of the recent empirical tests of the Black-Scholes option-pricing formula have been joint tests of three types of hypotheses:

1) mathematical structure of the formula,

2) measurement of formula inputs and outputs, and

3) the efficiency of the listed option market.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 15 , Issue 5 , December 1980 , pp. 1081 - 1105
Copyright
Copyright © School of Business Administration, University of Washington 1980

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References

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