1 - 5 of 5 articles
The 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 1981, and Cox, Ross, and Rubinstein 1979 to include economic features of the ESO contract that previously have been ignored....
The 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 from the stock market which is considered less efficient than the options market. This leads to a difference in...
We 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 find that MMI implied volatility Granger causes component stock implied volatility for all twenty component stocks, which...
Three years after the introduction of exchangetraded options on the American scene, a call options market was made with ten popular common stocks in Singapore in early 1977. Only calls were traded and no puts were introduced. After six months of trading actively, volume dwindled, and the market...
In 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 second is an estimate found by implying the volatility using the Black Scholes formula. Finally, the third is an...
Read and print from thousands of top scholarly journals.
Continue with Facebook
Sign up with Google
Log in with Microsoft
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Sign Up Log In
To subscribe to email alerts, please log in first, or sign up for a DeepDyve account if you don’t already have one.
To get new article updates from a journal on your personalized homepage, please log in first, or sign up for a DeepDyve account if you don’t already have one.