Option Valuation: Some Empirical Results

Carl Chiarella and Warren R. Hughes
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Warren R. Hughes: New South Wales Institute of Technology and University of New South Wales.

Australian Journal of Management, 1978, vol. 3, issue 1, 37-48

Abstract: The Black and Scholes option pricing formula is shown to be a good approximation for valuing options when stock returns are assumed to follow a poisson driven lognormal jump process posited by Merton. Empirical results are given for options on Australian and U.S. stocks.

Keywords: DIFFUSION PROCESS; JUMP PROCESS; OPTION (search for similar items in EconPapers)
Date: 1978
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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:3:y:1978:i:1:p:37-48

DOI: 10.1177/031289627800300103

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