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- W4311309038 abstract "This study answers a simple question for Chinese investors, especially Chinese retail investors: Is the Black–Scholes model good enough for them to make investment decisions? Using the absolute out-of-sample error as a measure of model efficiency, I find that the volume-weighted mean absolute out-of-sample error is 12.03% of the option premium and investors have to tolerate more than 1% absolute error in almost all subsample groups. The significant out-of-sample error indicates that using the Black–Scholes model solely in the decision-making process may have a negative impact on the investments’ performance." @default.
- W4311309038 created "2022-12-25" @default.
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- W4311309038 date "2022-12-12" @default.
- W4311309038 modified "2023-10-14" @default.
- W4311309038 title "IS THE BLACK–SCHOLES MODEL GOOD ENOUGH FOR RETAIL INVESTORS IN CHINA?" @default.
- W4311309038 doi "https://doi.org/10.24135/afl.v11i.589" @default.
- W4311309038 hasPublicationYear "2022" @default.
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