摘要：Several recent studies have found that the Black (1976) model
prices American options on futures quite accurately. These studies have used
daily prices which are subject to non-synchronous trading. The present study
uses transactions data on the Nikkei Index futures and options on Nikkei Index
futures traded at Singapore International Monetary Exchange to examine the
effectiveness of the Black model on an intra-day basis. The study finds that the
model underprices both calls and puts. This is consistent with the fact that the
model does not account for the early exercise feature of American
options.
