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- W4300604009 abstract "This paper considers the non-constant nature of the volatility parameter in the Black and Scholes (1973) option pricing model. References in the literature to the many empirical observations of systematic pricing biases associated with the model, in particular the exercise price and the time-to-maturity biases, are widespread. London International Financial Futures and Options Exchange (LIFFE) close of-day data on the FTSE 100 European-style exercise stock index option (ESX) is employed to test the Black-Scholes model specification using Hansen’s (1982) Generalised Method of Moments (GMM). The results of the empirical analysis confirm the existence of pricing biases and might be interpreted as indirect evidence in support of the hypothesis that the market is using all alternative model to price options." @default.
- W4300604009 created "2022-10-03" @default.
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- W4300604009 date "2002-12-31" @default.
- W4300604009 modified "2023-10-11" @default.
- W4300604009 title "The Non-Consistency of the Black-Scholes Variance Parameter: A Generalised Method of Moments Investigation" @default.
- W4300604009 doi "https://doi.org/10.52399/001c.35338" @default.
- W4300604009 hasPublicationYear "2002" @default.
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