TESTING OPTION PRICING-MODELS FOR SEVERAL CONTINGENT CLAIMS USING A GENERALIZED METHODOLOGY

Authors
VELD C VERBOVEN A
Citation
C. Veld et A. Verboven, TESTING OPTION PRICING-MODELS FOR SEVERAL CONTINGENT CLAIMS USING A GENERALIZED METHODOLOGY, Economics letters, 41(3), 1993, pp. 293-299
Citations number
9
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
41
Issue
3
Year of publication
1993
Pages
293 - 299
Database
ISI
SICI code
0165-1765(1993)41:3<293:TOPFSC>2.0.ZU;2-C
Abstract
A general methodology is presented to test,option pricing models for s everal contingent claims. This methodology is used to test the Black/S choles model and the Binomial model for all and put options simultaneo usly. Results show that these two models are inadequate for the pricin g of both call and put options.