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Empirical Properties of the Black-Scholes Formula Under Ideal Conditions

Published online by Cambridge University Press:  06 April 2009

Extract

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, and

3) the efficiency of the listed option market.

Type
Research Article
Copyright
Copyright © School of Business Administration, University of Washington 1980

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References

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