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OPTIONS MARKET EFFICIENCY AND THE BOX SPREAD STRATEGY
16 references·2 citing·26 second hop
OPTIONS MARKET EFFICIENCY AND THE BOX SPREAD STRATEGY (1985)OPTIONS MARKET EFFICIENCY AND THE BOX SPR…Theory of rational option pricing (2005)Theory of rational option pri…Transactions data tests of efficiency of the Chicago board options exchange (1983)Transactions data tests of ef…Trading costs for listed options (1980)Trading costs for listed opti…An ex ante analysis of put-call parity (1980)An ex ante analysis of put-ca…Put-Call Parity and Market Efficiency (1979)Put-Call Parity and Market Ef…An Empirical Examination of the Black-Scholes Call Option Pricing Model (1979)An Empirical Examination of t…Empirical tests of boundary conditions for CBOE options (1978)Empirical tests of boundary c…The Valuation of American Put Options (1977)The Valuation of American Put…THE VALUATION OF AMERICAN PUT OPTIONS (1977)THE VALUATION OF AMERICAN PUT…Tests of Market Efficiency of the Chicago Board Options Exchange (1977)Tests of Market Efficiency of…An analytic valuation formula for unprotected American call options on stocks with known dividends (1977)An analytic valuation formula…Transactions costs and the relationship between put and call prices (1974)Transactions costs and the re…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Valuation of Option Contracts and a Test of Market Efficiency (1972)The Valuation of Option Contr…THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY (1972)THE VALUATION OF OPTION CONTR…THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES (1969)THE RELATIONSHIP BETWEEN PUT …Box Spread and Put-Call Parity Tests for the S&P 500 Index LEAPS Market (2001)Box Spread and Put-Call Parit…Box Spread Arbitrage Profits following the 1987 Market Crash: Real or Illusory? (1997)Box Spread Arbitrage Profits …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)The Pricing of Options and Corporate Liabilities (1973)The Interrelation of Stock and Options Market Trading-Volume Data (1988)An Investigation of Market Microstructure Impacts on Event Study Returns (1991)Negotiating a Market, Performing Theory: The Historical Sociology of a Financial Derivatives Exchange (2001)Option pricing when underlying stock returns are discontinuous (1976)The valuation of compound options (1979)Option Prices as Predictors of Equilibrium Stock Prices (1982)On Jumps in Common Stock Prices and Their Impact on Call Option Pricing (1985)Risk-Neutral Skewness: Evidence from Stock Options (2002)Anticipated information releases reflected in call option prices (1979)Standard deviations implied in option prices as predictors of future stock price variability (1981)Valuation of American call options on dividend-paying stocks (1982)STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES (1976)Stock Returns and Volatility (1990)Risk and Volatility: Econometric Models and Financial Practice (2004)A SURVEY OF SOME NEW RESULTS IN FINANCIAL OPTION PRICING THEORY (1976)Options and Bubbles (2006)Variational inequalities and the pricing of American options (1990)ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS (1992)Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Option pricing: A simplified approach (1979)A contingent-claims valuation of convertible securities (1977)
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References

  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1972THE VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY718 cited
  • 1972The Valuation of Option Contracts and a Test of Market Efficiency612 cited
  • 1977THE VALUATION OF AMERICAN PUT OPTIONS504 cited
  • 1979An Empirical Examination of the Black-Scholes Call Option Pricing Model446 cited
  • 1977The Valuation of American Put Options443 cited
  • 1977An analytic valuation formula for unprotected American call options on stocks with known dividends378 cited
  • 1969THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES377 cited
  • 1980Trading costs for listed options207 cited
  • 1977Tests of Market Efficiency of the Chicago Board Options Exchange199 cited
  • 1979Put-Call Parity and Market Efficiency147 cited
  • 1983Transactions data tests of efficiency of the Chicago board options exchange106 cited
  • 1974Transactions costs and the relationship between put and call prices98 cited
  • 1978Empirical tests of boundary conditions for CBOE options84 cited
  • 1980

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An ex ante analysis of put-call parity
65 cited

Cited by

  • 2001Box Spread and Put-Call Parity Tests for the S&P 500 Index LEAPS Market26 cited
  • 1997Box Spread Arbitrage Profits following the 1987 Market Crash: Real or Illusory?26 cited