Investigating the Imperfection of the B – S Model: A Case Study of an Emerging Stock Market

Investigating the Imperfection of the B – S Model: A Case Study of an Emerging Stock Market

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The Black – Scholes (B-S) model is one of the widely used models in the pricing of financial option. The B-S model like most other models hinges on assumptions; one of which is the normality condition. A lot of researches have shown that using the log-return of developed market index that this assumption does not hold. We have shown in this paper using the log return from 1st January 2010 to...
 
Published at British Journal of Applied Science & Technology
Volume 4
Issue 29
Pages 4191-4200
Published in 2014
 
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E. A. Owoloko and M. C. Okeke
OWOLOKO Alfred Enahoro » Owoloko Enahoro Alfred, holds a Diploma in Mathematics Education, B.Sc., M.Sc. (Industrial Mathematics) and Master of Business Admistration (M.B.A) all from the University of Benin, Benin City and Ph.D Industrial Mathematics from Covenant University, Ota, Nigeria. His Ph.D thesis was supervised by Prof. G.O.S. Ekhaguere of the University of Ibadan. His research interest include among others ... view full profile
OWOLOKO Alfred Enahoro
 
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