THE EVALUATION OF TRADED OPTIONS PRICING MODELS IN AUSTRALIA
报告一项澳大利亚实证研究，检验原始Black-Scholes期权定价模型及其考虑股息变体的可检验含义，结果不支持该模型在澳大利亚期权市场中正确定价。
The aim of this paper is to report the results of an Australian empirical study which examined a number of testable implications of the original Black and Scholes (B‐S) Option Pricing Model, and a variant of the model, that incorporates the dividends paid on the underlying security. The results do not support the notion that the B‐S model prices options “correctly” within the Australian Options Market.