%0 Journal Article
%T An Empirical Investigation of the Black-Scholes Model: Evidence from the Australian Stock Exchange
%A Scott McKenzie
%A Dionigi Gerace
%A Zaffar Subedar
%J Australasian Accounting Business and Finance Journal
%D 2007
%I University of Wollongong
%X This paper evaluates the probability of an exchange traded European call option beingexercised on the ASX200 Options Index. Using single-parameter estimates of factors withinthe Black-Scholes model, this paper utilises qualitative regression and a maximum likelihoodapproach. Results indicate that the Black-Scholes model is statistically significant at the 1%level. The results also provide evidence that the use of implied volatility and a jump-diffusionapproach, which increases the tail properties of the underlying lognormal distribution,improves the statistical significance of the Black-Scholes model.
%K Black-Scholes model
%K probability
%K Australian stock exchange
%U http://ro.uow.edu.au/aabfj/vol1/iss4/5