Title: Investigating the Imperfection of the B – S Model: A Case Study of an Emerging Stock Market
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 1 st January 2010 to 31 st 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.