NONPARAMETRIC-TESTS OF ALTERNATIVE OPTION PRICING-MODELS USING ALL REPORTED TRADES AND QUOTES ON THE 30 MOST ACTIVE CBOE OPTION CLASSES FROM AUGUST 23, 1976 THROUGH AUGUST 31, 1978

被引：260

作者：

RUBINSTEIN, M

机构：

来源：

关键词：

D O I：

10.2307/2327895

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：455 / 480

页数：26

共 15 条

[1] BHATTACHARYA M, 1978, UNPUB BERKELEY OPTIO
[2] PRICING OF OPTIONS AND CORPORATE LIABILITIES
BLACK, F
SCHOLES, M
[J]. 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] Cox J.C., 1985, OPTIONS MARKETS
[6] VALUATION OF OPTIONS FOR ALTERNATIVE STOCHASTIC-PROCESSES
COX, JC
ROSS, SA
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (1-2) : 145 - 166
[7] COX JC, 1975, 275 U PENNS RL WHIT
[8] VALUATION OF COMPOUND OPTIONS
GESKE, R
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (01) : 63 - 81
[9] GESKE R, 1984, J FINANCE JUN, P443
[10] EMPIRICAL-EXAMINATION OF THE BLACK-SCHOLES CALL OPTION PRICING MODEL
MACBETH, JD
MERVILLE, LJ
[J]. JOURNAL OF FINANCE, 1979, 34 (05) : 1173 - 1186