Empirical Properties of the Black-Scholes Formula Under Ideal Conditions

Mihir Bhattacharya

Journal of Financial and Quantitative Analysis, 1980, vol. 15, issue 5, 1081-1105

Abstract: Most of the recent empirical tests of the Black-Scholes option-pricing formula have been joint tests of three types of hypotheses:1) mathematical structure of the formula,2) measurement of formula inputs and outputs, and3) the efficiency of the listed option market.

Date: 1980
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