This paper aims to examine the theory behind the Black-Scholes call option pricing model, which has been widely used by those who deal with options to search for situations where the market price of an option differs substantially from the fair value. The empirical test of the option pricing model conducted by Black-Scholes (1972) is also reviewed in this paper. Since the test was done prior to the listed trading and is the earliest one, it seems to be outdated. A number of later empirical tests of the Black-Scholes model have shown that the model is highly successful in explaining the observed market price of options. However, the investigation of the earliest test is very meaningful in itself.
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