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Sponsored AI AM CLAUDE, A Beginner's Guide: Learn the basics of working with AI AI AM CLAUDE, A Beginner's Guide: Learn the basics of working with AI

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Yun-Woo Han

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Open access Oct 2026

Black–Scholes Pricing and Market Mispricing of XSP European Index Options

This study compares Black–Scholes prices with 6,414 XSP European option quotes from August 7, 2026. The calculation uses the XSP index level, a three-month U.S. Treasury yield, an annualized dividend yield, and 20-day historical volatility from S&P 500 log returns. Signed, absolute, and absolute relative pricing errors...

Yun-Woo Han · 0 citations

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