Table of contents
Black Scholes, As Compared to Observed Prices: An Empirical Study
Salil K. SarkarThe Black Scholes option pricing model has been put to extensive application both in research and in actual market place. However, the inputs for the model are generally obtained…
Valuation of Executive Stock Options
Roger P. Bey, Larry J. JohnsonThe executive stock option (ESO) valuation model developed in this research amends the popular exchange traded option pricing models such as Black and Scholes (1973), Whaley…
An Investigation of the Causal Relationships Between Index and Component Stock Implied Volatility
Francis E. Laatsch, Shane A. JohnsonWe investigate the causal relationships between volatility implied in Major Market Index (MMI) options and its component stocks' options from January, 1987 to October, 1989. We…
A Case Study of a Failed Call Options Market
M. Ariff, P.K. Chan, L.W. JohnsonThree years after the introduction of exchange‐traded options on the American scene, a call options market was made with ten popular common stocks in Singapore in early 1977. Only…
Implied Volatility vs. GARCH: A Comparison of Forecasts
Kenneth S. Bartunek, Mustafa ChowdhuryIn this paper we compare three types of forecasts of the volatility of equity returns series. The first is an historical estimate based on a simple sample standard deviation. A…
ISSN:
0307-4358Online date, start – end:
1975Copyright Holder:
Emerald Publishing LimitedOpen Access:
hybridEditor:
- Professor Don Johnson