Rogers, L. C. G.; Satchell, S. E. - In: Applied Financial Economics 10 (2000) 1, pp. 37-39
If Y = (Y 1,…,Y N) are the log-returns of an asset on succeeding days, then under the assumptions of the Black-Scholes option pricing formula, these are independent normal random variables with common mean and variance in the risk-neutral measure. If we can show empirically that Y does not...