What Else do Trading Characteristics Tell us? Beyond the Black-Scholes Model

• Main Authors: Wen-hao Hsieh, 謝汶澔
• Other Authors: Ming-Hsien Chen
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/17660749660955579922

碩士 === 國立高雄第一科技大學 === 財務管理所 === 98 === In this study we use TXO to investigate beyond the Black-Scholes Model, whether the market characteristics such as trading volume can influence the pricing errors or not. The results show that the more trading volume the smaller pricing errors call options have, but there is no evidence indicate that trading volume can affect pricing error in put options. In the Black-Scholes model characteristics, options tend to have larger pricing errors in high index volatility and risk-free rate. More near the in-the-money the options tend to have smaller pricing errors, and options with longer days to maturity tend to have smaller pricing errors.