Anomalies in option pricing: The Black-Scholes model revisited

New England Economic Review

Volumn , Issue 2, 1996, Pages 16-40

  Fortune, Peter ^a  

^a NONE

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Indexed keywords

EID: 0039336419     PISSN: 00284726     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (15)

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2. Canina, Linda and Stephen Figlewski. 1993. "The Informational Content of Implied Volatility." The Review of Financial Studies, vol. 6, no. 3, pp. 659-81.
3. Cox, John and Stephen Ross. 1976. "The Valuation of Options for Alternative Stochastic Processes." Journal of Financial Economics, vol. 3 (January/March), pp. 145-66.
4. Fama, Eugene F. 1965. "The Behavior of Stock-Market Prices." Journal of Business, vol. 38, pp. 34-105.
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6. Fortune, Peter. 1991. "Stock Market Efficiency: An Autopsy." New England Economic Review, March/April, pp. 17-40.
7. _. 1995. "Stocks, Bonds, Options, Futures and Portfolio Insurance: A Rose by Any Other Name. . . ." New England Economic Review, July/August, pp. 25-46.
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9. Merton, Robert. 1973. "Theory of Rational Option Pricing." The Bell Journal of Economics and Management Science, vol. 4 (Spring), pp. 141-83.
10. _. 1976a. "Option Pricing When Underlying Stock Returns are Discontinuous." Journal of Financial Economics, vol. 3 (January/March), pp. 125-44.
11. _. 1976b. "The Impact on Option Pricing of Specification Error in the Underlying Stock Returns." Journal of Business, vol. 31, no. 2 (May), pp. 333-50.
12. Minehan, Cathy E. and Katerina Simons. 1995. "Managing Risk in the '90s: What Should You Be Asking about Derivatives?" New England Economic Review, September/October, pp. 3-25.
13. Press, S. James. 1967. "A Compound Events Model for Security Prices." Journal of Business, vol. 40, no. 3 (July), pp. 317-35.
14. Rubenstein, Mark. 1994. "Implied Binomial Trees." Journal of Finance, vol. 64, no. 3 (July), pp. 771-818.
15. Smith, Clifford. 1976. "Option Pricing: A Review." Journal of Financial Economics, vol. 3 (January/March), pp. 3-51.