Advanced Search
MyIDEAS: Login to save this paper or follow this series

Empirical Contributions to Optionpricing analyzing Black and Scholes and other Models

Contents:

Author Info

  • Gerhard Schroeder

    (Privat Experimental Research)

Abstract

By analyzing fictitious options - a unique approach - significant mispricing due to the formula of Black and Scholes can be shown systematically and independent from market distortion. Even options based on fictitious, lognormally distributed courses are not valued properly. According to the Law of Large Numbers pricing models based on time distibutions should be applied to strategies rather than to single option prices. The discontinuity of autocorrelation (Stalagmites Effect) has impact on forecasting models. The current impact of volatility - there is no - on option pricing is not justified.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://128.118.178.162/eps/if/papers/0510/0510024.pdf
Download Restriction: no

Bibliographic Info

Paper provided by EconWPA in its series International Finance with number 0510024.

as in new window
Length: 34 pages
Date of creation: 24 Oct 2005
Date of revision:
Handle: RePEc:wpa:wuwpif:0510024

Note: Type of Document - pdf; pages: 34
Contact details of provider:
Web page: http://128.118.178.162

Related research

Keywords: Black Scholes; fair value; option pricing; mispricing; derivatives; stalagmites effect; artificially generated 'cloned' quotations; test methods; experimental economical research; predicting; forecasting;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpif:0510024. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.