๐”– Bobbio Scriptorium
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Seasonal effects in S&P 100 index option returns

โœ Scribed by John S. Cotner; Nandkumar Nayar

Book ID
102842802
Publisher
John Wiley and Sons
Year
1993
Tongue
English
Weight
719 KB
Volume
13
Category
Article
ISSN
0270-7314

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โœฆ Synopsis

We would like to thank Campbell Harvey for providing the discrete dividend data used in the computation of implied standard deviations of the S&P 100 index. The article has greatly benefited from the constructive suggestions of two anonymous referees of The Journal of Futures Markets.

๐Ÿ“œ SIMILAR VOLUMES

Dividends and S&P 100 index option valua
Dividends and S&P 100 index option valuation
โœ Campbell R. Harvey; Robert E. Whaley ๐Ÿ“‚ Article ๐Ÿ“… 1992 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 918 KB

We thank Arthur Evans, Jefferson Fleming, Sunil Paremeswan, and Shrikant Ramamurthy for their research assistance. James Fazio at Standard and Poor's Corporation provided valuable help i n constructing our series. The comments of Gary Gastineau and R e d Stulz are gratefully acknowledged. We also ap