MOORE, LYNDON; JUH, STEVE - In: Journal of Finance 61 (2006) 6, pp. 3069-3098
We obtain daily data for warrants traded on the Johannesburg Stock Exchange between 1909 and 1922, and for a broker's call option quotes on stocks from 1908 to 1911. We use this new data set to test how close derivative prices are to <link rid="b3">Black-Scholes (1973)</link> prices and to compute profits for...