Black Scholes, As Compared to Observed Prices: An Empirical Study
Salil K. Sarkar
(Associate Professor of Finance, Henderson State University, P.O. Box 7663, Arkadelphia, Arkansas 71999, U.S.A.)
308
Abstract
The Black Scholes option pricing model has been put to extensive application both in research and in actual market place. However, the inputs for the model are generally obtained from the stock market which is considered less efficient than the options market. This leads to a difference in calculated price and observed price. This paper studies the bias empirically.
Citation
Sarkar, S.K. (1995), "Black Scholes, As Compared to Observed Prices: An Empirical Study", Managerial Finance, Vol. 21 No. 10, pp. 1-8. https://doi.org/10.1108/eb018535
Publisher
:MCB UP Ltd
Copyright © 1995, MCB UP Limited