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Observations on the Theory of Option Pricing
Tests of an Approximate OptionValuation
Tests of Market Efficiency for American Call
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adjustment American call option Amex analysis arbitrage assets assumed assumptions at-the-money average B-S model Black and Scholes Black-Scholes formula Black-Scholes model bond prices boundary conditions CBOE Chicago Cocoa Corp coupon default derive dividend equation ex-ante ex-post excess returns exercise price expiration Financial Economics function futures contract futures price Galai Geske hedge position hedge returns holding period holding-period returns instantaneous interest rates inventory ISDs Journal of Financial London Commodity Options market efficiency market prices maturity Merton model prices option contract option market Option Pricing option value option-pricing model options written out-of-the-money overvalued parameters payouts percent predictions premium price-prediction errors pricing model profits rate of return regression risk riskless Roll model Rubinstein significant spot commodity spot price standard deviation statistics stochastic process stock price strategy striking price term-structure theory transaction costs underlying stock undervalued valuation model Valuation of Options variables variance estimate volatility WISD yield spread zero