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- W2108873655 abstract "This paper examines the mispricing behavior of the B-S option pricing model through the comparison of simultaneous equation solutions for implied present value of ex-dividends and implied standard deviation among in-the-money, at-the-money, and out-of-the-money options for the S&P 500 index option for the 1987 through 1989 period. The empirical results suggest that the B-S model tends to underprice the set (deep in-the-money calls and deep out-of-the-money puts) relative to the set (deep out-of-the money calls and deep in-the-money puts). In addition, empirical results suggest that the predictions of ex-dividends obtained from the P-C parity condition yield a smaller bias than those of the B-S model." @default.
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- W2108873655 date "1994-08-01" @default.
- W2108873655 modified "2023-10-18" @default.
- W2108873655 title "S & P 500 index options prices and the Black-Scholes option pricing model" @default.
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- W2108873655 doi "https://doi.org/10.1080/758530892" @default.
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