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THE CRASH OF 87 - WAS IT EXPECTED - THE EVIDENCE FROM OPTIONS MARKETS
被引:389
作者
:
BATES, DS
论文数:
0
引用数:
0
h-index:
0
BATES, DS
机构
:
来源
:
JOURNAL OF FINANCE
|
1991年
/ 46卷
/ 03期
关键词
:
D O I
:
10.2307/2328552
中图分类号
:
F8 [财政、金融];
学科分类号
:
0202 ;
摘要
:
引用
收藏
页码:1009 / 1044
页数:36
相关论文
共 29 条
[1]
A SIMPLIFIED JUMP PROCESS FOR COMMON-STOCK RETURNS
BALL, CA
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TOROUS, WN
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[J].
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS,
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[2]
ON JUMPS IN COMMON-STOCK PRICES AND THEIR IMPACT ON CALL OPTION PRICING
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0
h-index:
0
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TOROUS, WN
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0
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[J].
JOURNAL OF FINANCE,
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: 155
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[3]
EFFICIENT ANALYTIC APPROXIMATION OF AMERICAN OPTION VALUES
BARONEADESI, G
论文数:
0
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h-index:
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机构:
DUKE UNIV,FINANCE,DURHAM,NC 27706
DUKE UNIV,FINANCE,DURHAM,NC 27706
BARONEADESI, G
WHALEY, RE
论文数:
0
引用数:
0
h-index:
0
机构:
DUKE UNIV,FINANCE,DURHAM,NC 27706
DUKE UNIV,FINANCE,DURHAM,NC 27706
WHALEY, RE
[J].
JOURNAL OF FINANCE,
1987,
42
(02)
: 301
-
320
[4]
BATES D, 1988, 3688 U PENNS RL WHIT
[5]
BATES DS, 1988, 3788 U PENNS RL WHIT
[6]
THE STOCHASTIC-BEHAVIOR OF COMMON-STOCK VARIANCES - VALUE, LEVERAGE AND INTEREST-RATE EFFECTS
CHRISTIE, AA
论文数:
0
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[J].
JOURNAL OF FINANCIAL ECONOMICS,
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10
(04)
: 407
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[7]
FORWARD AND FUTURES PRICES - EVIDENCE FROM THE FOREIGN-EXCHANGE MARKETS
CORNELL, B
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REINGANUM, MR
论文数:
0
引用数:
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REINGANUM, MR
[J].
JOURNAL OF FINANCE,
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: 1035
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[8]
Cox J.C., 1985, OPTIONS MARKETS
[9]
VALUATION OF OPTIONS FOR ALTERNATIVE STOCHASTIC-PROCESSES
COX, JC
论文数:
0
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机构:
STANFORD UNIV,STANFORD,CA 94305
COX, JC
ROSS, SA
论文数:
0
引用数:
0
h-index:
0
机构:
STANFORD UNIV,STANFORD,CA 94305
ROSS, SA
[J].
JOURNAL OF FINANCIAL ECONOMICS,
1976,
3
(1-2)
: 145
-
166
[10]
THE RELATION BETWEEN FORWARD PRICES AND FUTURES PRICES
COX, JC
论文数:
0
引用数:
0
h-index:
0
机构:
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COX, JC
INGERSOLL, JE
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CHICAGO,CHICAGO,IL 60637
INGERSOLL, JE
ROSS, SA
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CHICAGO,CHICAGO,IL 60637
ROSS, SA
[J].
JOURNAL OF FINANCIAL ECONOMICS,
1981,
9
(04)
: 321
-
346
←
1
2
3
→
共 29 条
[1]
A SIMPLIFIED JUMP PROCESS FOR COMMON-STOCK RETURNS
BALL, CA
论文数:
0
引用数:
0
h-index:
0
BALL, CA
TOROUS, WN
论文数:
0
引用数:
0
h-index:
0
TOROUS, WN
[J].
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS,
1983,
18
(01)
: 53
-
65
[2]
ON JUMPS IN COMMON-STOCK PRICES AND THEIR IMPACT ON CALL OPTION PRICING
BALL, CA
论文数:
0
引用数:
0
h-index:
0
BALL, CA
TOROUS, WN
论文数:
0
引用数:
0
h-index:
0
TOROUS, WN
[J].
JOURNAL OF FINANCE,
1985,
40
(01)
: 155
-
173
[3]
EFFICIENT ANALYTIC APPROXIMATION OF AMERICAN OPTION VALUES
BARONEADESI, G
论文数:
0
引用数:
0
h-index:
0
机构:
DUKE UNIV,FINANCE,DURHAM,NC 27706
DUKE UNIV,FINANCE,DURHAM,NC 27706
BARONEADESI, G
WHALEY, RE
论文数:
0
引用数:
0
h-index:
0
机构:
DUKE UNIV,FINANCE,DURHAM,NC 27706
DUKE UNIV,FINANCE,DURHAM,NC 27706
WHALEY, RE
[J].
JOURNAL OF FINANCE,
1987,
42
(02)
: 301
-
320
[4]
BATES D, 1988, 3688 U PENNS RL WHIT
[5]
BATES DS, 1988, 3788 U PENNS RL WHIT
[6]
THE STOCHASTIC-BEHAVIOR OF COMMON-STOCK VARIANCES - VALUE, LEVERAGE AND INTEREST-RATE EFFECTS
CHRISTIE, AA
论文数:
0
引用数:
0
h-index:
0
CHRISTIE, AA
[J].
JOURNAL OF FINANCIAL ECONOMICS,
1982,
10
(04)
: 407
-
432
[7]
FORWARD AND FUTURES PRICES - EVIDENCE FROM THE FOREIGN-EXCHANGE MARKETS
CORNELL, B
论文数:
0
引用数:
0
h-index:
0
CORNELL, B
REINGANUM, MR
论文数:
0
引用数:
0
h-index:
0
REINGANUM, MR
[J].
JOURNAL OF FINANCE,
1981,
36
(05)
: 1035
-
1045
[8]
Cox J.C., 1985, OPTIONS MARKETS
[9]
VALUATION OF OPTIONS FOR ALTERNATIVE STOCHASTIC-PROCESSES
COX, JC
论文数:
0
引用数:
0
h-index:
0
机构:
STANFORD UNIV,STANFORD,CA 94305
COX, JC
ROSS, SA
论文数:
0
引用数:
0
h-index:
0
机构:
STANFORD UNIV,STANFORD,CA 94305
ROSS, SA
[J].
JOURNAL OF FINANCIAL ECONOMICS,
1976,
3
(1-2)
: 145
-
166
[10]
THE RELATION BETWEEN FORWARD PRICES AND FUTURES PRICES
COX, JC
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CHICAGO,CHICAGO,IL 60637
COX, JC
INGERSOLL, JE
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CHICAGO,CHICAGO,IL 60637
INGERSOLL, JE
ROSS, SA
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV CHICAGO,CHICAGO,IL 60637
ROSS, SA
[J].
JOURNAL OF FINANCIAL ECONOMICS,
1981,
9
(04)
: 321
-
346
←
1
2
3
→