Performance of Black-Scholes model with TSRV estimates

摘要: Purpose – The purpose of this paper is to test the pricing performance Black-Scholes (B-S) model, with volatility underlying estimated two-scale realised measure (TSRV) proposed by Zhang et al. (2005). Design/methodology/approach ex post TSRV used as estimator ensure efficient estimation, without forecasting error. B-S option prices, thus obtained, are compared market prices using four measures, for options on NIFTY index, and three its constituent stocks. tick-by-tick data in study price comparisons. Findings model shows significantly negative bias all options, which dependent moneyness underlying. Research limitations/implications despite use more estimate, facto values, confirms inadequacy. It also points towards ...