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An Empirical Examination of the Black-Scholes Call Option Pricing Model

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Author Info
MacBeth, James D
Merville, Larry J
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File URL: http://links.jstor.org/sici?sici=0022-1082%28197912%2934%3A5%3C1173%3AAEEOTB%3E2.0.CO%3B2-W&origin=repec
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Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 34 (1979)
Issue (Month): 5 (December)
Pages: 1173-86
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Handle: RePEc:bla:jfinan:v:34:y:1979:i:5:p:1173-86

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  1. Patrick Asea & Mthuli Nube, 1997. "Heterogeneous Information Arrival and Option Pricing," UCLA Economics Working Papers 763, UCLA Department of Economics. [Downloadable!]
  2. Robert G. Tompkins, 2001. "Implied volatility surfaces: uncovering regularities for options on financial futures," European Journal of Finance, Taylor and Francis Journals, vol. 7(3), pages 198-230, September. [Downloadable!] (restricted)
  3. Sadayuki Ono, 2007. "Option Pricing under Stochastic Volatility and Trading Volume," Discussion Papers 07/05, Department of Economics, University of York. [Downloadable!]
  4. Michael Dueker & Thomas W. Miller, Jr., 1996. "Market microstructure effects on the direct measurement of the early exercise premium in exchange-listed options," Working Papers 1996-013, Federal Reserve Bank of St. Louis. [Downloadable!]
  5. Marc Chesney, Jean Lefoll, 1996. "Predicting premature exercise of an American put on stocks: theory and empirical evidence," European Journal of Finance, Taylor and Francis Journals, vol. 2(1), pages 21-39, March. [Downloadable!] (restricted)
  6. K. Ronnie Sircar, George C. Papanicolaou, 1999. "Stochastic volatility, smile & asymptotics," Applied Mathematical Finance, Taylor and Francis Journals, vol. 6(2), pages 107-145, June. [Downloadable!] (restricted)
  7. Éric Jacquier & Robert Jarrow, 1996. "Model Error in Contingent Claim Models Dynamic Evaluation," CIRANO Working Papers 96s-12, CIRANO. [Downloadable!]
    Other versions:
  8. Patrick K. Asea & Mthuli Ncube, 1997. "Heterogeneous Information Arrival and Option Pricing," NBER Working Papers 5950, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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