Investigating the Imperfection of the B – S Model: A Case Study of an Emerging Stock Market

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 1st January 2010 to 31st 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.