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Journal of Banking and Finance
Volumn 32, Issue 5, 2008, Pages 880-891
The value of shorting
Author keywords

G12; Implied volatility; Put call parity; Short sale constraint; Sweden
Indexed keywords

EID: 41949098315     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.06.005     Document Type: Article
Times cited : (16)
References (12)
  • 1
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  • 2
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    • The pricing of options and corporate liabilities
    • Black F., and Scholes M. The pricing of options and corporate liabilities. Journal of Political Economy 81 (1973) 637-654
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    • Black, F.1    Scholes, M.2
  • 4
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    • The behavior of the volatility implicit in the prices of stock index options
    • Day T., and Lewis C. The behavior of the volatility implicit in the prices of stock index options. Journal of Financial Economics 22 (1988) 103-122
    • (1988) Journal of Financial Economics , vol.22 , pp. 103-122
    • Day, T.1    Lewis, C.2
  • 5
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    • Constraints on short-selling and asset price adjustment to private information
    • Diamond D., and Verrecchia R. Constraints on short-selling and asset price adjustment to private information. Journal of Financial Economics 18 (1987) 277-311
    • (1987) Journal of Financial Economics , vol.18 , pp. 277-311
    • Diamond, D.1    Verrecchia, R.2
  • 7
    • 0002255613 scopus 로고
    • A simple technique for the valuation and hedging of American options
    • Ho T.S., Stapleton R.C., and Subrahmanyam M.G. A simple technique for the valuation and hedging of American options. Journal of Derivatives 1 (1994) 52-66
    • (1994) Journal of Derivatives , vol.1 , pp. 52-66
    • Ho, T.S.1    Stapleton, R.C.2    Subrahmanyam, M.G.3
  • 9
    • 84977729924 scopus 로고
    • One market? stocks, futures and options during 1987
    • Kleidon A.W., and Whaley R.E. One market? stocks, futures and options during 1987. Journal of Finance 47 (1992) 851-877
    • (1992) Journal of Finance , vol.47 , pp. 851-877
    • Kleidon, A.W.1    Whaley, R.E.2
  • 10
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    • Risk uncertainty, and divergence of opinion
    • Miller E. Risk uncertainty, and divergence of opinion. Journal of Finance 32 (1977) 1151-1168
    • (1977) Journal of Finance , vol.32 , pp. 1151-1168
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  • 11
    • 7444245569 scopus 로고    scopus 로고
    • Limited arbitrage and short sale restrictions: Evidence from options markets
    • Ofek E., Richardson M., and Whitelaw R. Limited arbitrage and short sale restrictions: Evidence from options markets. Journal of Financial Economics 74 (2004) 305-342
    • (2004) Journal of Financial Economics , vol.74 , pp. 305-342
    • Ofek, E.1    Richardson, M.2    Whitelaw, R.3
  • 12
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    • The value of early exercise in option prices: An empirical investigation
    • Zivney T.L. The value of early exercise in option prices: An empirical investigation. Journal of Financial and Quantitative Analysiss 26 (1991) 129-138
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    • Zivney, T.L.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.