TRANSACTIONS DATA TESTS OF EFFICIENCY OF THE CHICAGO-BOARD-OPTIONS-EXCHANGE

被引:43
作者
BHATTACHARYA, M
机构
关键词
D O I
10.1016/0304-405X(83)90034-X
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:161 / 185
页数:25
相关论文
共 24 条
[1]  
BAESEL J, 1983, UNPUB J FINANCE
[2]  
BECKERS S, 1978, 83 U CAL I BUS EC RE
[3]  
BENSTON G, 1978, FINANCIAL ANAL J JAN, P44
[4]   EMPIRICAL PROPERTIES OF THE BLACK-SCHOLES FORMULA UNDER IDEAL CONDITIONS [J].
BHATTACHARYA, M .
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1980, 15 (05) :1081-1105
[5]  
BHATTACHARYA M, 1978, BERKELEY OPTIONS T D
[6]   VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY [J].
BLACK, F ;
SCHOLES, M .
JOURNAL OF FINANCE, 1972, 27 (02) :399-417
[7]   PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].
BLACK, F ;
SCHOLES, M .
JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :637-654
[8]   DISCRETELY ADJUSTED OPTION HEDGES [J].
BOYLE, PP ;
EMANUEL, D .
JOURNAL OF FINANCIAL ECONOMICS, 1980, 8 (03) :259-282
[9]   INFORMATION-CONTENT OF OPTION PRICES AND A TEST OF MARKET EFFICIENCY [J].
CHIRAS, DP ;
MANASTER, S .
JOURNAL OF FINANCIAL ECONOMICS, 1978, 6 (2-3) :213-234
[10]  
COX J, 1983, UNPUB OPTION MARKETS