| Article ID: | iaor201522826 |
| Volume: | 8 |
| Issue: | 4 |
| Start Page Number: | 265 |
| End Page Number: | 274 |
| Publication Date: | Dec 1985 |
| Journal: | Journal of Financial Research |
| Authors: | Sears R Stephen, Park Hun Y |
| Keywords: | investment, statistics: empirical, information |
This paper presents empirical results regarding the suitability of the Black model for the pricing of options on stock index futures. Whaley's technique is used to present empirical evidence regarding the pricing biases of the model. Information provided by the implied volatilities suggests that model refinements should address the changing volatility issue.