Evidence on delta hedging and implied volatilities for the black-scholes, gamma, and weibull option pricing models

Journal of Financial Research

Volumn 28, Issue 2, 2005, Pages 299-317

  Savickas, Robert ^a  

^a GEORGE WASHINGTON UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 19944378765     PISSN: 02702592     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1475-6803.2005.00126.x     Document Type: Article

References (9)

1. Black, F. and M. Scholes, 1973, The pricing of options and corporate liabilities, Journal of Political Economy 81, 627-59.
2. Corrado, C. and T. Su, 1996a, S&P 500 index option tests of Jarrow and Rudd's approximate option valuation formula, Journal of Futures Market 16, 611-30.
3. Corrado, C. and T. Su, 1996b, Skewness and kurtosis in S&P 500 index returns implied by option prices, Journal of Financial Research 19, 175-92.
4. Corrado, C. and T. Su, 1997, Implied volatility skews and stock index skewness and kurtosis implied by S&P 500 index option prices, Journal of Derivatives 4, 8-19.
5. Heston, S., 1993, Invisible parameters in option prices, Journal of Finance 48, 933-47.
6. Merton, R., 1973, Theory of rational option pricing, Bell Journal of Economics and Management Science 4, 141-83.
7. Mood, A., F. Graybill, and D. Boes, 1974. Introduction to the Theory of Statistics (McGraw-Hill, New York).
8. Savickas, R., 2002, A simple option-pricing formula, Financial Review 37, 207-26.
9. Whaley, R., 1982, Valuation of American call options on dividend-paying stocks: Empirical tests, Journal of Financial Economics 10, 29-58.