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OPTIONS MARKET EFFICIENCY AND THE BOX SPREAD STRATEGY · Study

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ArticleOPTIONS MARKET EFFICIENCY AND THE BOX SPREAD STRATEGY

Randall S. Billingsley1985

Article1985

OPTIONS MARKET EFFICIENCY AND THE BOX SPREAD STRATEGY

Randall S. Billingsley · Don M. Chance

30 citations·0/0 files stored·Financial Review

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1972THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY 1972The Valuation of Option Contracts and a Test of Market Efficiency 1977THE VALUATION OF AMERICAN PUT OPTIONS 1979An Empirical Examination of the Black-Scholes Call Option Pricing Model 1977The Valuation of American Put Options 1977An analytic valuation formula for unprotected American call options on stocks with known dividends

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2001Box Spread and Put-Call Parity Tests for the S&P 500 Index LEAPS Market 1997Box Spread Arbitrage Profits following the 1987 Market Crash: Real or Illusory?

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Year1985

Typearticle

Published1985-11-01

VenueFinancial Review

ISSN-L0732-8516

Languageen

Citations30

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1111/j.1540-6288.1985.tb00309.x

openalex_workW2015114673

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