Nonparametric tests of strike price and expiration bias in the implied volatility of the South African All Share Index Future Contract
In this article we assess the appropriateness of the constant volatility assumption required by the Black (1976) option pricing model for options on the All Share Index future. The assessment uses similar nonparametric tests as implemented in Rubinstein for data recorded over the 1992 to 1996 period...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AOSIS
1998-06-01
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| Series: | South African Journal of Business Management |
| Online Access: | https://sajbm.org/index.php/sajbm/article/view/773 |