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BLACK‐SCHOLES vs. KASSOUF OPTION PRICING: AN EMPIRICAL COMPARISON
Author(s) -
French Dan W.
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.tb00440.x
Subject(s) - black–scholes model , valuation of options , economics , econometrics , asian option , finite difference methods for option pricing , empirical research , monte carlo methods for option pricing , yield (engineering) , financial economics , actuarial science , mathematics , statistics , volatility (finance) , materials science , metallurgy
This paper presents a comparison of the Black‐Scholes and Kassouf models for the pricing of options. Graphical presentations of simulated call option prices show the effects of changing the different variables on the prices of options. An empirical study using observed option prices shows that there is little practical difference between the values given by the two models, and that an investment strategy based upon using either of the two models would yield about the same return.