Assessing the incremental value of option pricing theory relative to an informationally passive benchmark

Journal of Derivatives

Volumn 10, Issue 1, 2002, Pages 80-96

  Figlewski, Stephen ^a  

^a NEW YORK UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85012287801     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2002.319192     Document Type: Review

References (10)

1. Black, Fischer, and Myron Scholes. "The Pricing of Options and Corporate Liabilities." Journal of Political Economy, Vol. 81 (May-June 1973).
2. Duffie, Darrell. "An Extension of the Black-Scholes Model of Security Valuation." Journal of Economic Theory, Vol. 46 (1988), pp. 194-204.
3. Figlewski, Stephen. "Forecasting Volatility." Financial Markets, Institutions, and Instruments, Vol. 6, No. 1 (1997).
4. -. "Options Arbitrage in Imperfect Markets." Journal of Finance, Vol. 44, No. 5 (December 1989).
5. Green, T. Clifton, and Stephen Figlewski. "Market Risk and Model Risk for a Financial Institution Writing Options." Journal of Finance, Vol. 54, No. 4 (1999), pp. 1465-1499.
6. Leland, Hayne. "Option Pricing and Replication with Transactions Costs." Journal of Finance, Vol. 40, No. 5 (1985), pp. 1283-1301.
7. MacBeth, James D., and Larry J. Merville. "An Empirical Examination of the Black-Scholes Call Option Pricing Model." Journal of Finance, Vol. 34, No. 5 (1979), pp. 1173-1186.
8. -. " Tests of the Black-Scholes and Cox Call Option Valuation Models." Journal of Finance, Vol. 35, No. 2 (1980), pp. 285-303.
9. Merton, Robert C. "Theory of Rational Option Pricing." Bell Journal of Economics and Management Science, Vol. 4 (Spring 1973), pp. 141-183.
10. Rubinstein, Mark. "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, No. 2 (1985), pp. 455-480.