The relative mispricing of the constant variance American put model
S Hadjiyannakis, L Culumovic, RL Welch - International Review of …, 1998 - Elsevier
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 …
maturity on the Chicago Board Options Exchange (CBOE) for 1987, 1988 and 1989. Using a …
[BOOK][B] Essays in option replication
K Sankaran - 1996 - search.proquest.com
This study examines the effects of time-varying volatility and transaction costs on replication
of foreign currency futures options. Evidence in various financial markets, including currency …
of foreign currency futures options. Evidence in various financial markets, including currency …