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Volumn 28, Issue 1, 2003, Pages 1-21

An Empirical Test of the Pricing of VPO Contracts

Author keywords

DILUTION; EQUITY CAPITAL; OPTION; VPO

Indexed keywords


EID: 84996218766     PISSN: 03128962     EISSN: None     Source Type: Journal    
DOI: 10.1177/031289620302800101     Document Type: Article
Times cited : (9)

References (14)
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    • Australian Stock Exchange Limited Brisbane, Queensland
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    • (1999) ASX Annual Stockmarket Summaries
  • 3
    • 0040517321 scopus 로고    scopus 로고
    • Empirical performance of alternative option pricing model
    • Bakshi, G. C., Cao & Chen. Z. 1997, ‘Empirical performance of alternative option pricing model.’ Journal of Finance, vol. 52. pp. 2003-2049.
    • (1997) Journal of Finance , vol.52 , pp. 2003-2049
    • Bakshi, G.C.1    Cao2    Chen, Z.3
  • 4
    • 0002116579 scopus 로고
    • Fact and fantasy in the use of options
    • Black. F. 1975, ‘Fact and fantasy in the use of options’, Financial Analysts Journal, vol. 31, July-August, pp. 36-41, 61-5, & 72.
    • (1975) Financial Analysts Journal , vol.31 , pp. 36-41
    • Black, F.1
  • 6
    • 0000373457 scopus 로고    scopus 로고
    • Autoregressive conditional duration: A new model for irregularly spaced transaction data
    • Engle. R. F. & Russell, J. R. 1998, ‘Autoregressive conditional duration: A new model for irregularly spaced transaction data’, Econometrica, vol. 66, pp. 1127-1162.
    • (1998) Econometrica , vol.66 , pp. 1127-1162
    • Engle, R.F.1    Russell, J.R.2
  • 7
    • 0001727611 scopus 로고
    • Tests of market efficiency of the Chicago Board Options Exchange
    • Galai, D. 1977, ‘Tests of market efficiency of the Chicago Board Options Exchange’, Journal of Business, vol. 50, pp. 167-197.
    • (1977) Journal of Business , vol.50 , pp. 167-197
    • Galai, D.1
  • 8
    • 0036088036 scopus 로고    scopus 로고
    • On the valuation of warrants
    • Handley, J. C. 2002, ‘On the valuation of warrants’. Journal of Futures Markets, vol. 22, pp. 765-782.
    • (2002) Journal of Futures Markets , vol.22 , pp. 765-782
    • Handley, J.C.1
  • 11
    • 84888437248 scopus 로고
    • An empirical examination of the Black-Scholes call option pricing model
    • MacBeth. J. D. & Merville. L. J. 1979. ‘An empirical examination of the Black-Scholes call option pricing model’. Journal of Finance, vol. 34, pp. 1173-1186.
    • (1979) Journal of Finance , vol.34 , pp. 1173-1186
    • MacBeth, J.D.1    Merville, L.J.2
  • 12
    • 20444487025 scopus 로고    scopus 로고
    • Efficient option replication in the presence of transactions costs
    • Martineili, L. 2000, ‘Efficient option replication in the presence of transactions costs’. Review of Derivatives Research, vol. 4, pp. 107-131.
    • (2000) Review of Derivatives Research , vol.4 , pp. 107-131
    • Martineili, L.1
  • 13
    • 84944838542 scopus 로고
    • Nonparametric tests of alternative option pricing models using all reported trades and quotes on the 30 most active CBOE option classes from August 23, 1976 through August 31, 1978
    • Rubinstein, M. 1985, ‘Nonparametric tests of alternative option pricing models using all reported trades and quotes on the 30 most active CBOE option classes from August 23, 1976 through August 31, 1978’, Journal of Finance, vol. 40, pp. 455-480.
    • (1985) Journal of Finance , vol.40 , pp. 455-480
    • Rubinstein, M.1
  • 14
    • 49049138369 scopus 로고
    • Valuation of American call options on dividend paying stocks: Empirical tests
    • Whaley, R. E. 1982, ‘Valuation of American call options on dividend paying stocks: Empirical tests’. Journal of Financial Economics, vol. 10, pp. 29-58.
    • (1982) Journal of Financial Economics , vol.10 , pp. 29-58
    • Whaley, R.E.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.