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Comparative Performance of the Black-Scholes and Roll-Geske-Whaley Option Pricing Models.
- Source :
- Journal of Financial & Quantitative Analysis; Sep83, Vol. 18 Issue 3, p345-354, 10p
- Publication Year :
- 1983
-
Abstract
- 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]
Details
- Language :
- English
- ISSN :
- 00221090
- Volume :
- 18
- Issue :
- 3
- Database :
- Complementary Index
- Journal :
- Journal of Financial & Quantitative Analysis
- Publication Type :
- Academic Journal
- Accession number :
- 5722065
- Full Text :
- https://doi.org/10.2307/2330725