✦ LIBER ✦

Comparative pricing of American and European index options: An empirical analysis

✍ Scribed by Paul Dawson

Publisher: John Wiley and Sons
Year: 1994
Tongue: English
Weight: 817 KB
Volume: 14
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990140308

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

An analysis of index option pricing

✍ John S. Cotner; James F. Horrell 📂 Article 📅 1989 🏛 John Wiley and Sons 🌐 English ⚖ 609 KB

Rudd (198s) reported that rheir tests do not lead one to rejezt the hypothesis that closing prices are nprrsentative of option process recorded throughout the day. ## INDEX OFITON PRICING / 451 'While Evnine and Rudd used the average of the bid-ask prices at six times each day, and this study use

Options on futures contracts: A comparis

Options on futures contracts: A comparison of European and American pricing models

✍ Kuldeep Shastri; Kishore Tandon 📂 Article 📅 1986 🏛 John Wiley and Sons 🌐 English ⚖ 775 KB

ecent theoretical research has developed two valuation models for pricing R options on futures contracts-a European version, and a more complex American variant. The purpose of this article is to compare the pricing behavior of the two models and develop some implications for the use of European mod

An empirical analysis of commodity prici

An empirical analysis of commodity pricing

✍ Richard Heaney 📂 Article 📅 2006 🏛 John Wiley and Sons 🌐 English ⚖ 381 KB

## Abstract Commodity pricing models generally explain the link between commodity prices and stock levels in terms of a stock‐out constraint or a convenience yield. Analysis of this link is provided using monthly London Metals Exchange copper, lead, and zinc prices obtained for the period November

An empirical examination of the pricing

An empirical examination of the pricing of exchange-traded barrier options

✍ Steve Easton; Richard Gerlach; Melissa Graham; Frank Tuyl 📂 Article 📅 2004 🏛 John Wiley and Sons 🌐 English ⚖ 111 KB 👁 2 views

## Abstract Actively traded barrier options were introduced on the Australian Stock Exchange in 1998. This market provides a unique laboratory in which to empirically examine their pricing. This is particularly so given that, for a number of these options, otherwise identical standard European opti

An empirical examination of composite st

An empirical examination of composite stock index futures pricing

✍ Edward M. Saunders Jr.; Arvind Mahajan 📂 Article 📅 1988 🏛 John Wiley and Sons 🌐 English ⚖ 1009 KB

T composite stock index futures prices to associated normative prices as specified by an arbitrage argument while controlling for significant market imperfections. This research contrasts with earlier empirical works in several ways. First, the arbitrage argument is maintained despite the assumption

Pricing and hedging S&P 500 index option

Pricing and hedging S&P 500 index options with Hermite polynomial approximation: empirical tests of Madan and Milne's model

✍ An�, Thierry 📂 Article 📅 1999 🏛 John Wiley and Sons 🌐 English ⚖ 225 KB 👁 2 views

The universal use of the Black and Scholes option pricing model to value a wide range of option contracts partly accounts for the almost systematic use of Gaussian distributions in finance. Empirical studies, however, suggest that there is an information content beyond the second moment of the distr