Transaction Data Tests of S&P 100 Call Option Pricing

Aamir M. Sheikh

Journal of Financial and Quantitative Analysis, 1991, vol. 26, issue 4, 459-475

Abstract: This paper examines the pricing of S&P 100 calls using 14 months of transactions data. We find that market prices of S&P 100 calls differ systematically from Black-Scholes values. The biases in Black-Scholes model prices are both statistically and economically significant and correspond to biases that arise if market prices incorporate a stochastically changing volatility of the index.

Date: 1991
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Persistent link: https://EconPapers.repec.org/RePEc:cup:jfinqa:v:26:y:1991:i:04:p:459-475_00

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