ON MEASURING THE RISK OF COMMON-STOCKS IMPLIED BY OPTIONS PRICES - A NOTE

被引：6

作者：

BRENNER, M ^{[1
]}

GALAI, D ^{[1
]}

机构：

[1] NYU, NEW YORK, NY 10006 USA

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 1984年 / 19卷 / 04期

关键词：

D O I：

10.2307/2330782

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：403 / 412

页数：10

共 15 条

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[5]

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[6]

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[9] A NOTE ON AN ANALYTICAL VALUATION FORMULA FOR UNPROTECTED AMERICAN CALL OPTIONS ON STOCKS WITH KNOWN DIVIDENDS [J].

GESKE, R .

JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (04) :375-380

[10] STANDARD DEVIATIONS OF STOCK-PRICE RATIOS IMPLIED IN OPTION PRICES [J].

LATANE, HA ;

RENDLEMAN, RJ .

JOURNAL OF FINANCE, 1976, 31 (02) :369-381

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