A Meta-Analysis of the Efficiency of Black-Scholes and Binomial Pricing Models: Sensitivity Analysis of Empirical Research

June 23, 2025Financial Economics فصلنامه اقتصاد مالیOpen Access

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Key Points

This research aims to assess the efficiency of Black-Scholes and Binomial pricing models based on empirical studies.
Conducted a meta-analysis of 54 studies from 2000 to 2024.
Analyzed 39 studies on Black-Scholes and 15 studies on Binomial methods.
Focused on European options pricing to determine market pricing discrepancies.
Significant differences found between Black-Scholes model pricing and market prices, indicating arbitrage opportunities.
Binomial method also showed significant discrepancies for European call options but not for European put options, suggesting varying market efficiency.

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Meta-analysis evaluates pricing models in empirical research, suggesting market inefficiencies exist.

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Mahmoudian et al. (2025) studied this question.

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