This thesis contains investigation of the effect of the use of nonsimultaneous data in the pricing of futures-style options. Both the option pricing model, and the put-call parity relation specified by Asay (1982) provide the media for empirical testing of the research question. All share price index futures trades, and futures-style option trades, which occurred on the floor of the Sydney Futures Exchange, between 4 January 1993 and 31 August 1995, are examined. The study conducts analysis of option pricing errors resulting from the use of both time-matched data, and daily closing prices. Comparison of errors provides evidence to support the contention that the use of nonsimultaneous data introduces significant bias to option pricing. Additionally, evidence is presented to indicate that the Asay option pricing model exhibits a tendency to overprice options which are out-of-the-money and underprice options which are in-the-money. The model also exhibits significant pricing error for options which are near to maturity. Finally, evidence is presented regarding violation of put-call parity. It is shown that, when allowance is made for transaction costs, opportunity for arbitrage profit is scarce.