Valuation of American call options on dividend-paying stocks: Empirical tests

[1]  Robert E. Whaley,et al.  On the valuation of American call options on stocks with known dividends , 1981 .

[2]  P. Boyle,et al.  Discretely adjusted option hedges , 1980 .

[3]  Clifford W. Smith,et al.  Trading costs for listed options: The implications for market efficiency , 1980 .

[4]  Larry J. Merville,et al.  An Empirical Examination of the Black‐Scholes Call Option Pricing Model , 1979 .

[5]  R. Geske,et al.  A note on an analytical valuation formula for unprotected American call options on stocks with known dividends , 1979 .

[6]  J. Patell,et al.  Anticipated information releases reflected in call option prices , 1979 .

[7]  N. J. Johnson,et al.  Modified t Tests and Confidence Intervals for Asymmetrical Populations , 1978 .

[8]  Donald P. Chiras,et al.  The information content of option prices and a test of market efficiency , 1978 .

[9]  R. Watts.  Systematic ‘abnormal’ returns after quarterly earnings announcements , 1978 .

[10]  R. C. Merton,et al.  The Returns and Risk of Alternative Call Option Portfolio Investment Strategies , 1978 .

[11]  R. Trippi,et al.  COMMON STOCK VOLATILITY EXPECTATIONS IMPLIED BY OPTION PREMIA , 1978 .

[12]  Joseph E. Finnerty.  The Chicago Board Options Exchange and Market Efficiency , 1978, Journal of Financial and Quantitative Analysis.

[13]  R. Roll,et al.  An analytic valuation formula for unprotected American call options on stocks with known dividends , 1977 .

[14]  Dan Galai,et al.  Tests of Market Efficiency of the Chicago Board Options Exchange , 1977 .

[15]  Eduardo S. Schwartz.  The valuation of warrants: Implementing a new approach , 1977 .

[16]  Richard J. Rendleman,et al.  STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES , 1976 .

[17]  Clifford W. Smith,et al.  Option pricing: A review , 1976 .

[18]  F. Black.  Fact and Fantasy in the Use of Options , 1975 .

[19]  Fischer Black,et al.  The effects of dividend yield and dividend policy on common stock prices and returns , 1974 .

[20]  R. C. Merton,et al.  AN INTERTEMPORAL CAPITAL ASSET PRICING MODEL , 1973 .

[21]  E. Fama,et al.  Risk, Return, and Equilibrium: Empirical Tests , 1973, Journal of Political Economy.

[22]  F. Black,et al.  The Pricing of Options and Corporate Liabilities , 1973, Journal of Political Economy.

[23]  Mark Eisner,et al.  A Generalized Approach to Estimation as Implemented in the Troll/I System , 1973 .

[24]  Richard E. Quandt,et al.  Nonlinear methods in econometrics , 1973 .

[25]  Roy C. Milton,et al.  Computer Evaluation of the Multivariate Normal Integral , 1972 .

[26]  F. Black,et al.  The Valuation of Option Contracts and a Test of Market Efficiency , 1972 .

[27]  H. Spang.  A Review of Minimization Techniques for Nonlinear Functions , 1962 .

[28]  G. Chow.  Tests of equality between sets of coefficients in two linear regressions (econometrics voi 28 , 1960 .