Derivative Pricing 60 Years before Black–Scholes: Evidence from the Johannesburg Stock Exchange
利用1909-1922年约翰内斯堡证券交易所的权证和看涨期权数据，检验早期衍生品价格与布莱克-舒尔斯模型的接近程度，并分析投资者的交易行为和期权执行决策。
ABSTRACT We obtain daily data for warrants traded on the Johannesburg Stock Exchange between 1909 and 1922, and for a broker's call option quotes on stocks from 1908 to 1911. We use this new data set to test how close derivative prices are to Black–Scholes (1973) prices and to compute profits for investors using a simple trading rule for call options. We examine whether investors exercised warrants optimally and how they reacted to extensions of the warrants' durations. We show that long before the development of the formal theory, investors had an intuitive grasp of the determinants of derivative pricing.