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THE EVALUATION OF TRADED OPTIONS PRICING MODELS IN AUSTRALIA
Author(s) -
Castagna A.D.,
Matolcsy Z.P.
Publication year - 1983
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/j.1468-5957.1983.tb00425.x
Subject(s) - black–scholes model , dividend , valuation of options , financial economics , economics , actuarial science , empirical research , econometrics , business , finance , mathematics , statistics , volatility (finance)
The aim of this paper is to report the results of an Australian empirical study which examined a number of testable implications of the original Black and Scholes (B‐S) Option Pricing Model, and a variant of the model, that incorporates the dividends paid on the underlying security. The results do not support the notion that the B‐S model prices options “correctly” within the Australian Options Market.