Transaction Data Tests of S&P 100 Call Option Pricing
用14个月的交易数据检验标普100看涨期权的定价，发现市场价格与Black-Scholes模型存在系统偏差，且偏差在统计和经济上均显著，与市场考虑随机波动率的情形一致。
This paper examines the pricing of S&P 100 calls using 14 months of transactions data. We find that market prices of S&P 100 calls differ systematically from Black-Scholes values. The biases in Black-Scholes model prices are both statistically and economically significant and correspond to biases that arise if market prices incorporate a stochastically changing volatility of the index.