VALUATION OF AMERICAN CALL OPTIONS ON DIVIDEND-PAYING STOCKS - EMPIRICAL TESTS

被引:123
作者
WHALEY, RE
机构
关键词
D O I
10.1016/0304-405X(82)90029-0
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:29 / 58
页数:30
相关论文
共 30 条
[1]   VALUATION OF OPTION CONTRACTS AND A TEST OF MARKET EFFICIENCY [J].
BLACK, F ;
SCHOLES, M .
JOURNAL OF FINANCE, 1972, 27 (02) :399-417
[2]   PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].
BLACK, F ;
SCHOLES, M .
JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :637-654
[3]  
Black F., 1975, FINANCIAL ANAL J, V31, P61
[4]  
Black F., 1975, FINANCIAL ANAL J, V31, P36, DOI DOI 10.2469/FAJ.V31.N4.36
[5]  
Black F., 1974, J FINANC ECON, V1, P1, DOI DOI 10.1016/0304-405X(74)90006-3
[6]   DISCRETELY ADJUSTED OPTION HEDGES [J].
BOYLE, PP ;
EMANUEL, D .
JOURNAL OF FINANCIAL ECONOMICS, 1980, 8 (03) :259-282
[7]   INFORMATION-CONTENT OF OPTION PRICES AND A TEST OF MARKET EFFICIENCY [J].
CHIRAS, DP ;
MANASTER, S .
JOURNAL OF FINANCIAL ECONOMICS, 1978, 6 (2-3) :213-234
[8]   TESTS OF EQUALITY BETWEEN SETS OF COEFFICIENTS IN 2 LINEAR REGRESSIONS [J].
CHOW, GC .
ECONOMETRICA, 1960, 28 (03) :591-605
[9]  
EISNER M, 1973, ANN EC SOC MEASURE, V2, P29
[10]   RISK, RETURN, AND EQUILIBRIUM - EMPIRICAL TESTS [J].
FAMA, EF ;
MACBETH, JD .
JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :607-636