Chicago Board of Options Exchange (CBOE) transactions call data for 1987 to 1989 show
that the constant-variance model of Black and Scholes (and its dividend variant by Roll) has …

We examine delta-neutral call spreading strategies on the Chicago Board Options Exchange
between January 1987 and December 1989 and find substantial profits net of transaction …

This paper finds significant mispricing between puts differing only in their exercise price or
maturity on the Chicago Board Options Exchange (CBOE) for 1987, 1988 and 1989. Using a …

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SAAAAAA W TI ', * · • { "coex sucTUREs o vEcoR sacEs" " . - r. s , ---- « • * s “, • A thesis submittéd …

In the past few years a new method of regularization, called operator regularization (or), has
been developed to regulate formal divergences that arise in quantum field theory. This …

Concise in treatment and comprehensive in scope, this text for graduate students in mathematics
introduces contemporary real analysis with a particular emphasis on integration theory. …

Options bibliography Page 1 OPTIONS BIBLIOGRAPHY edited by ROBERT T. DAIGLER
Authors may inform this editor when articles are accepted by journals which have a long delay …

… Volunteers from 1993 to 1997 were: Gordon Bellerby, Drew Campbell, Rosalind and Gilles
Cousineau, Louis Culumovic, Jean and Blayne Farnan, MarcyFoster, Vince Goldsworthy, …

This literature review summarizes the academic research on option-implied volatility. It
describes algorithms for calculating implied volatility and various weighting schemes used to …

The academic procession is composed of the faculty, staff, officers, trustees and most
honored guests of the University. Faculty enter by college and each college is preceded by its …