Sheikh, Aamir M. - In: Journal of Financial and Quantitative Analysis 26 (1991) 04, pp. 459-475
This paper examines the pricing of S&P 100 calls using 14 months of transactions data. We find that market prices of S&P 100 calls differ systematically from Black-Scholes values. The biases in Black-Scholes model prices are both statistically and economically significant and correspond to...