A post Keynesian analysis of the Black-Scholes option pricing model.

The writers present a Post Keynesian analysis of the Black-Scholes option pricing model (BSOPM). They outline the basic theory of option pricing and reproduce the BSOPM formulation. In addition, they subject the BSOPM to empirical simulation, drawing on relationships that have been proven to have...

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Bibliographic Details
Published in:	Journal of Post Keynesian Economics Vol. 22; no. 2; pp. 247 - 264
Main Authors:	Thompson, James R., Williams, Edward E.
Format:	Article
Published:	M.E. Sharpe Inc. Winter 1999/2000
Subjects:	Keynesian economics Option (Contract) Mathematical models in business
Online Access:	View this record in EBSCOhost

Description
Summary:	The writers present a Post Keynesian analysis of the Black-Scholes option pricing model (BSOPM). They outline the basic theory of option pricing and reproduce the BSOPM formulation. In addition, they subject the BSOPM to empirical simulation, drawing on relationships that have been proven to have historical validity. Furthermore, they present some conclusions concerning the lack of application of the BSOPM model, despite its almost universal acceptance by neoclassical economists and very supposedly knowledgeable practitioners.