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Empirical Contributions to Optionpricing analyzing Black and Scholes and other Models


  • Gerhard Schroeder

    (Privat Experimental Research)


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.

Suggested Citation

  • Gerhard Schroeder, 2005. "Empirical Contributions to Optionpricing analyzing Black and Scholes and other Models," International Finance 0510024, University Library of Munich, Germany.
  • Handle: RePEc:wpa:wuwpif:0510024
    Note: Type of Document - pdf; pages: 34

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

    JEL classification:

    • F3 - International Economics - - International Finance
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance

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