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Empirical Properties of the Black-Scholes Formula Under Ideal Conditions

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  • Bhattacharya, Mihir

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  • Bhattacharya, Mihir, 1980. "Empirical Properties of the Black-Scholes Formula Under Ideal Conditions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(05), pages 1081-1105, December.
  • 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. 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.
    3. Alan L. Tucker, 1985. "Empirical Tests Of The Efficiency Of The Currency Option Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(4), pages 275-285, December.
    4. 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.
    5. 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.
    6. Ostermark, Ralf, 1998. "Call option pricing and replication under economic friction," European Journal of Operational Research, Elsevier, vol. 108(1), pages 184-195, July.
    7. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

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