OPTIONS ON STOCK INDEXES: A COMPARISON OF THE BLACK-SCHOLES OPTION PRICING FORMULA AND AN AUTOREGRESSIVE MODEL.

Title: OPTIONS ON STOCK INDEXES: A COMPARISON OF THE BLACK-SCHOLES OPTION PRICING FORMULA AND AN AUTOREGRESSIVE MODEL.
Identifier: AAI8601650
identifier: 8601650
Creator: HALPERN, MARC.
Contributor: Salih Neftci
Date: 1985
Language: English
Publisher: City University of New York.
Subject: Economics, Finance
Abstract: This paper measures the forecasting performance of the Black-Scholes formula when it is applied to the S and P 100 stock index call option traded on the Chicago Board of Exchange. A comparison is made between the option prices produced by the Black-Scholes formula and option prices generated by an autoregressive model. The information content of the Black-Scholes model is evaluated by including it in the autoregressive model. An option strategy is examined that is based upon forecasts produced by the autoregressive model. The model combining the Black-Scholes and the autoregressive model produces the best forecasts.
Type: dissertation
Source: PQT Legacy CUNY.xlsx
degree: Ph.D.
Program: Economics

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