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Empirical Properties of the Black-Scholes Formula Under Ideal Conditions

1980; Cambridge University Press; Volume: 15; Issue: 5 Linguagem: Inglês

10.2307/2330173

1756-6916

Mihir Kumar Bhattacharya,

Financial Reporting and Valuation Research

Most of the recent empirical tests of the Black-Scholes option-pricing formula have been joint tests of three types of hypotheses:1) mathematical structure of the formula,2) measurement of formula inputs and outputs, and3) the efficiency of the listed option market.