Comparative Performance of the Black-Scholes and Roll-Geske-Whaley Option Pricing Models.

The major goal of this paper is to make a direct comparison of the performance of the modified BS and RGW models. The testing procedure employed will enable a determination of not only if, but how often, RGW prices are significantly closer to actual market prices. Furthermore, a "dividend measure" will be employed to determine when the pseudo-American BS approximation is sufficient. [ABSTRACT FROM AUTHOR]