Empirical Contributions to Optionpricing analyzing Black and Scholes and other Models
Gerhard Schroeder ()
International Finance from EconWPA
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.
Keywords: Black Scholes; fair value; option pricing; mispricing; derivatives; stalagmites effect; artificially generated 'cloned' quotations; test methods; experimental economical research; predicting; forecasting (search for similar items in EconPapers)
JEL-codes: F3 F4 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn
Note: Type of Document - pdf; pages: 34
References: Add references at CitEc
Citations Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpif:0510024
Access Statistics for this paper
More papers in International Finance from EconWPA
Series data maintained by EconWPA ().