The Impact of Market Liquidity on the Effectiveness of Option Valuation with the Black-Scholes-Merton Model Using the Example of the WIG20 Index
The Black-Scholes-Merton model is one of the most popular option pricing models used in market practice. This model is based on unrealistic assumptions, including the lack of transaction costs. While it is not possible to satisfy all the conditions of the model, it is logical to assume that perfectl...
| Published in: | Nauki o Finansach |
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| Main Author: | |
| Format: | Article |
| Language: | English |
| Published: |
Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
2022-01-01
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| Online Access: | https://journals.ue.wroc.pl/fins/article/view/203 |