Biases in option prices: Evidence from the foreign currency option market
- 31 December 1987
- journal article
- Published by Elsevier in Journal of Banking & Finance
- Vol. 11 (4) , 549-562
- https://doi.org/10.1016/0378-4266(87)90001-x
Abstract
No abstract availableKeywords
This publication has 19 references indexed in Scilit:
- On the pricing of European and American foreign currency call optionsJournal of International Money and Finance, 1987
- On Valuing American Call Options with the Black-Scholes European FormulaThe Journal of Finance, 1984
- Foreign currency option valuesJournal of International Money and Finance, 1983
- Over-the-Counter Option Market Dividend Protection and "Biases" in the Black-Scholes Model: A NoteThe Journal of Finance, 1983
- Approximate option valuation for arbitrary stochastic processesJournal of Financial Economics, 1982
- Further Results on the Constant Elasticity of Variance Call Option Pricing ModelJournal of Financial and Quantitative Analysis, 1982
- Fact and Fantasy in the Use of OptionsCFA Magazine, 1975
- A Comparison of the Stable and Student Distributions as Statistical Models for Stock PricesThe Journal of Business, 1974
- The Valuation of Option Contracts and a Test of Market EfficiencyThe Journal of Finance, 1972
- The Behavior of Stock-Market PricesThe Journal of Business, 1965