THE VALUATION OF AMERICAN CALL OPTIONS AND THE EXPECTED EX-DIVIDEND STOCK-PRICE DECLINE

被引：29

作者：

BARONEADESI, G ^{[1
]}

WHALEY, RE ^{[1
]}

机构：

[1] DUKE UNIV,DURHAM,NC 27706

来源：

JOURNAL OF FINANCIAL ECONOMICS | 1986年 / 17卷 / 01期

关键词：

D O I：

10.1016/0304-405X(86)90007-3

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：91 / 111

页数：21

共 34 条

[1]

BARONEADESI G, 1986, ADV FUTURES OPTIONS, V1

[2] STANDARD DEVIATIONS IMPLIED IN OPTION PRICES AS PREDICTORS OF FUTURE STOCK-PRICE VARIABILITY [J].

BECKERS, S .

JOURNAL OF BANKING & FINANCE, 1981, 5 (03) :363-381

[3] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].

BLACK, F ;

SCHOLES, M .

JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :637-654

[4]

Black F., 1975, FINANCIAL ANAL J, V31, P61

[5]

Black F., 1975, FINANCIAL ANAL J, V31, P36, DOI DOI 10.2469/FAJ.V31.N4.36

[6]

BLACK F, 1973, UNPUB BEHAVIOR SECUR

[7] IMPACT OF VARIANCE ESTIMATION IN OPTION VALUATION MODELS [J].

BOYLE, PP ;

ANANTHANARAYANAN, AL .

JOURNAL OF FINANCIAL ECONOMICS, 1977, 5 (03) :375-387

[8] UNBIASED ESTIMATION OF THE BLACK-SCHOLES FORMULA [J].

BUTLER, JS ;

SCHACHTER, B .

JOURNAL OF FINANCIAL ECONOMICS, 1986, 15 (03) :341-357

[9] STOCK PRICE BEHAVIOR ON EX-DIVIDEND DATES [J].

Campbell, James A. ;

Beranek, William .

JOURNAL OF FINANCE, 1955, 10 (04) :425-429

[10] 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

← 1 2 3 4 →