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

Owoloko, E. A. and Okeke, M. C. (2014) Investigating the Imperfection of the B – S Model: A Case Study of an Emerging Stock Market. British Journal of Applied Science & Technology, 4 (29). pp. 4191-4200.

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Abstract

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 31st December 2012 in an emerging (Nigerian Stock Exchange) market All Share Index (ASI) to further support the reports of the non - normality condition of the B-S model

Item Type:	Article
Uncontrolled Keywords:	Scholes; Log – return; all share – index; financial options
Subjects:	Q Science > QA Mathematics
Divisions:	Faculty of Engineering, Science and Mathematics > School of Mathematics
Depositing User:	Mrs Patricia Nwokealisi
Date Deposited:	28 Oct 2015 09:28
Last Modified:	28 Oct 2015 09:28
URI:	http://eprints.covenantuniversity.edu.ng/id/eprint/5626

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