Empirical Tests of the Black-Scholes Option Pricing Formula

question 42

Multiple Choice

Empirical tests of the Black-Scholes option pricing formula

• A)have faced difficulties due to nonsynchronous data.
• B)suggest that when using simultaneous price data and incorporating transaction costs they conclude that the PHLX American currency options are efficiently priced.
• C)suggest that the European option-pricing model works well for pricing American currency options that are at- or out-of-the money, but does not do well in pricing in-the-money calls and puts.
• D)all of the above

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