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Empirical Properties of the Black-Scholes Formula Under Ideal Conditions

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  • Bhattacharya, Mihir
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    Bibliographic Info

    Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

    Volume (Year): 15 (1980)
    Issue (Month): 05 (December)
    Pages: 1081-1105

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    Handle: RePEc:cup:jfinqa:v:15:y:1980:i:05:p:1081-1105_01

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    Cited by:
    1. Peter Carr & Liuren Wu, 2004. "Static Hedging of Standard Options," Finance 0409016, EconWPA.
    2. Andrea Capotorti & Gianna Figa'-Talamanca, 2012. "On an implicit assessment of fuzzy volatility in the Black and Scholes environment," Quaderni del Dipartimento di Economia, Finanza e Statistica 106/2012, Università di Perugia, Dipartimento Economia, Finanza e Statistica.
    3. Tian, Yisong Sam, 1998. "A Trinomial Option Pricing Model Dependent on Skewness and Kurtosis," International Review of Economics & Finance, Elsevier, vol. 7(3), pages 315-330.
    4. Ostermark, Ralf, 1998. "Call option pricing and replication under economic friction," European Journal of Operational Research, Elsevier, vol. 108(1), pages 184-195, July.
    5. Matloob Ullah Khan & Ambrish Gupta & Sadaf Siraj, 2013. "Empirical Testing of Modified Black-Scholes Option Pricing Model Formula on NSE Derivative Market in India," International Journal of Economics and Financial Issues, Econjournals, vol. 3(1), pages 87-98.

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