Graduate School of Business Administration, University of California at Berkeley. The author would like to thank the Chicago Board Options Exchange and Interactive Data Corporation for supplying the data necessary to undertake this study, and the Institute for Quantitative Research in Finance for funding. The original version of this paper contained only an empirical analysis of the statistical significance of deviations of market prices from Black-Scholes values. Special thanks are due to Kamal Duggirala who, while he was a student at Berkeley, independently replicated the results of the original version of the paper and went on to provide the supplemental analysis of economic significance.
Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 through August 31, 1978
Version of Record online: 30 APR 2012
© 1985 the American Finance Association
The Journal of Finance
Volume 40, Issue 2, pages 455–480, June 1985
How to Cite
RUBINSTEIN, M. (1985), Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 through August 31, 1978. The Journal of Finance, 40: 455–480. doi: 10.1111/j.1540-6261.1985.tb04967.x
- Issue online: 30 APR 2012
- Version of Record online: 30 APR 2012
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