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An analysis of index option pricing

1989; Wiley; Volume: 9; Issue: 5 Linguagem: Inglês

10.1002/fut.3990090507

1096-9934

John S. Cotner, James F. Horrell,

Financial Markets and Investment Strategies

Journal of Futures MarketsVolume 9, Issue 5 p. 449-459 Article An analysis of index option pricing John S. Cotner, John S. Cotner Assistant Professor of Finance at Loyola College in MarylandSearch for more papers by this authorJames F. Horrell, James F. Horrell Associate Professor of Finance at The University of OklahomaSearch for more papers by this author John S. Cotner, John S. Cotner Assistant Professor of Finance at Loyola College in MarylandSearch for more papers by this authorJames F. Horrell, James F. Horrell Associate Professor of Finance at The University of OklahomaSearch for more papers by this author First published: October 1989 https://doi.org/10.1002/fut.3990090507Citations: 7AboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onEmailFacebookTwitterLinkedInRedditWechat Bibliography Bhattacharya, M. (1980): " Empirical properties of the Black-Scholes Formula Under Ideal Conditions," Journal of Financial and Quantitative Analysis Google Scholar Black, F. (1975): " Fact and Fantasy in the Use of Optins," Financial Analysis Journal Google Scholar Black, F. and M., Scholes (1972): " The Valuation of option Contracts and a Test of Market Efficiency," Journal of Finance Google Scholar Black, F. and M., Scholes (1973): " The Pricing of Options and Corporate Liabilities", Journal of Political Economy Google Scholar Cotner, J., R., Ford and J. Horrell (1986): " A Test of Market Efficiency in the Pricing of Index Options," Southern Finance Association Meeting, Google Scholar Cox, J. S. Ross and M. Rubenstein (1979): " Option Pricing: A Simplified Approach," Journal of Financial Economics Google Scholar Cox, J. and M., Rubenstein (1986): " Options Markets," Prentice-Hall, Englewood Cliffs, NJ. Google Scholar Evnine, J. and A., Rudd (1986): " Index options: The Early Evidence," Journal of Finance Google Scholar Galai, D. (1977): " Tests of Market Efficiency of the Chicago Board Options Exchange," Journal of Business Google Scholar Gultekin, N., R., Rogalski and S. Tinic " Option Pricing Model Estimates, Some Empirical Results," Financial Management Google Scholar Latane, H. and R., Rendleman (1976): " Standard Deviation of Stock Price Ratios Implied in Option Prices," Journal of Finance Google Scholar Macbeth, J. and L., Merville (1979): " An Empirical Examination of the Black-Scholes Call Option Pricing Model," Journal of Finance Google Scholar Merton, R. (1973): " Theory of Rational Option Pricing," The Bell Journal of Economics and Management Science Google Scholar Patell, J. and M., Wolfson (1979): " Anticipated Information Releases Reflected in Call Option Prices," Journal of Accounting and Economics Google Scholar Rendleman, R. and B., Bartter (1979): " Two-State Option Pricing," Journal of Finance Google Scholar Richten, P., Options: Theory, Strategy and Applications, Scott, Foresman and Company Glenview, IL (1987). Google Scholar Schmalensee, R. and R., Trippi (1978): " Common Stock Volatility Expectations Implied by Option Premia," Journal of Finance Google Scholar Sterk, W. (1982): " Test of Two Models for Valuing Call Options on Stock with Dividends," Journal of Finance Google Scholar Whaley, R. (1982): " Valuation of American Call Options on Dividend Paying Stocks: Empirical Tests," Journal of Financial Economics Google Scholar Citing Literature Volume9, Issue5October 1989Pages 449-459 ReferencesRelatedInformation