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Tests of the Black-Scholes and Cox Call Option Valuation Models

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  • MacBeth, James D
  • Merville, Larry J
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    Article provided by American Finance Association in its journal Journal of Finance.

    Volume (Year): 35 (1980)
    Issue (Month): 2 (May)
    Pages: 285-301

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    Handle: RePEc:bla:jfinan:v:35:y:1980:i:2:p:285-301

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    Cited by:
    1. Bhupinder Bahra, 1997. "Implied risk-neutral probability density functions from option prices: theory and application," Bank of England working papers 66, Bank of England.
    2. Kung, James J. & Lee, Lung-Sheng, 2009. "Option pricing under the Merton model of the short rate," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(2), pages 378-386.
    3. N. K. Chidambaran & Chi-Wen Jevons Lee & Joaguin R. Trigueros, 1998. "An Adaptive Evolutionary Approach to Option Pricing via Genetic Programming," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-086, New York University, Leonard N. Stern School of Business-.
    4. Brian A. Eales & Radu Tunaru, 2004. "Financial Engineering with Reverse Cliquet Options," Money Macro and Finance (MMF) Research Group Conference 2004 81, Money Macro and Finance Research Group.
    5. Shane Miller & Eckhard Platen, 2010. "Real-World Pricing for a Modified Constant Elasticity of Variance Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(2), pages 147-175.

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