Performance of the Black-Scholes option pricing model:empirical evidence on S&P 500 call options in 2014
This paper evaluates performance of the Black-Scholes option pricing model on European call options that are written on U.S. S&P 500 equity index in year 2014. Main purpose is to show empirical evidence about false assumptions contained in the model and complete it by relaxing unconditional rest...
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| Format: | Dissertation |
| Language: | English |
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University of Oulu
2017
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| Online Access: | http://urn.fi/URN:NBN:fi:oulu-201711083066 http://nbn-resolving.de/urn:nbn:fi:oulu-201711083066 |