IDEAS home Printed from https://ideas.repec.org/a/bla/jfnres/v11y1988i3p201-214.html
   My bibliography  Save this article

Tests Of The Black-Scholes And Constant Elasticity Of Variance Currency Call Option Valuation Models

Author

Listed:
  • Alan L. Tucker
  • David R. Peterson
  • Elton Scott

Abstract

No abstract is available for this item.

Suggested Citation

  • Alan L. Tucker & David R. Peterson & Elton Scott, 1988. "Tests Of The Black-Scholes And Constant Elasticity Of Variance Currency Call Option Valuation Models," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(3), pages 201-214, September.
    • Handle: RePEc:bla:jfnres:v:11:y:1988:i:3:p:201-214
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1988.tb00082.x
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. MacBeth, James D & Merville, Larry J, 1980. "Tests of the Black-Scholes and Cox Call Option Valuation Models," Journal of Finance, American Finance Association, vol. 35(2), pages 285-301, May.
    2. Johnson, Larry J, 1986. "Foreign-Currency Options, Ex Ante Exchange-Rate Volatility, and Market Efficiency: An Empirical Test," The Financial Review, Eastern Finance Association, vol. 21(4), pages 433-450, November.
    3. Emanuel, David C. & MacBeth, James D., 1982. "Further Results on the Constant Elasticity of Variance Call Option Pricing Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(4), pages 533-554, November.
    4. Alan L. Tucker, 1985. "Empirical Tests Of The Efficiency Of The Currency Option Market," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(4), pages 275-285, December.
    5. Shastri, Kuldeep & Tandon, Kishore, 1986. "Valuation of Foreign Currency Options: Some Empirical Tests," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(2), pages 145-160, June.
    6. Shastri, Kuldeep & Tandon, Kishore, 1985. "Arbitrage tests of the efficiency of the foreign currency options market," Journal of International Money and Finance, Elsevier, vol. 4(4), pages 455-468, December.
    7. Beckers, Stan, 1980. "The Constant Elasticity of Variance Model and Its Implications for Option Pricing," Journal of Finance, American Finance Association, vol. 35(3), pages 661-673, June.
    8. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    9. McFarland, James W & Pettit, R Richardson & Sung, Sam K, 1982. "The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement," Journal of Finance, American Finance Association, vol. 37(3), pages 693-715, June.
    10. Martin, Deryl W. & French, Dan W., 1987. "The characteristics of interest rates and stock variances implied in option prices," Journal of Economics and Business, Elsevier, vol. 39(3), pages 279-288, August.
    11. Hooper, Peter & Morton, John, 1982. "Fluctuations in the dollar: A model of nominal and real exchange rate determination," Journal of International Money and Finance, Elsevier, vol. 1(1), pages 39-56, January.
    12. Bodurtha, James N. & Courtadon, Georges R., 1987. "Tests of an American Option Pricing Model on the Foreign Currency Options Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(2), pages 153-167, June.
    13. Patell, Jm & Wolfson, Ma, 1981. "The Ex Ante And Ex Post Price Effects Of Quarterly Earnings Announcements Reflected In Option And Stock-Prices," Journal of Accounting Research, Wiley Blackwell, vol. 19(2), pages 434-458.
    14. Laurie S. Goodman & Susan Ross & Frederick Schmidt, 1985. "Are foreign currency options overvalued? The early experience of the Philadelphia stock exchange," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 5(3), pages 349-359, September.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Vajanne, Laura, . "The Exchange Rate Under Target Zones," ETLA A, The Research Institute of the Finnish Economy, number 16.
    2. Axel A. Araneda, 2019. "The fractional and mixed-fractional CEV model," Papers 1903.05747, arXiv.org, revised Jun 2019.
    3. David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
    4. Axel A. Araneda & Marcelo J. Villena, 2018. "Computing the CEV option pricing formula using the semiclassical approximation of path integral," Papers 1803.10376, arXiv.org.
    5. Padmakumari, Lakshmi & S., Maheswaran, 2017. "A new statistic to capture the level dependence in stock price volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 355-362.
    6. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    2. El-Mekkaoui, Mazen & Flood, Mark D., 1998. "Put-call parity revisited: intradaily tests in the foreign currency options market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(3-4), pages 357-376, December.
    3. David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
    4. Olesia Verchenko, 2011. "Testing option pricing models: complete and incomplete markets," Discussion Papers 38, Kyiv School of Economics.
    5. Shane Miller, 2007. "Pricing of Contingent Claims Under the Real-World Measure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2007.
    6. Lieu, Derming, 1997. "Estimation of empirical pricing equations for foreign-currency options: Econometric models vs. arbitrage-free models," International Review of Economics & Finance, Elsevier, vol. 6(3), pages 259-286.
    7. Shane Miller, 2007. "Pricing of Contingent Claims Under the Real-World Measure," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 25, July-Dece.
    8. Veld, C.H. & Verboven, A.H.F., 1993. "An empirical analysis of warrant prices versus long term call option prices," Research Memorandum FEW 594, Tilburg University, School of Economics and Management.
    9. Evangelos Melas, 2018. "Classes of elementary function solutions to the CEV model. I," Papers 1804.07384, arXiv.org.
    10. Marcos Escobar-Anel & Weili Fan, 2023. "The SEV-SV Model—Applications in Portfolio Optimization," Risks, MDPI, vol. 11(2), pages 1-34, January.
    11. Axel A. Araneda, 2019. "The fractional and mixed-fractional CEV model," Papers 1903.05747, arXiv.org, revised Jun 2019.
    12. DiCesare, Joe & Mcleish, Don, 2008. "Simulation of jump diffusions and the pricing of options," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 316-326, December.
    13. Vajanne, Laura, . "The Exchange Rate Under Target Zones," ETLA A, The Research Institute of the Finnish Economy, number 16.
    14. Kleopatra Nikolaou & Lucio Sarno, 2006. "New evidence on the forward unbiasedness hypothesis in the foreign‐exchange market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(7), pages 627-656, July.
    15. Aricson Cruz & José Carlos Dias, 2020. "Valuing American-style options under the CEV model: an integral representation based method," Review of Derivatives Research, Springer, vol. 23(1), pages 63-83, April.
    16. Gao, Jianwei, 2009. "Optimal portfolios for DC pension plans under a CEV model," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 479-490, June.
    17. Ma, Chao & Ma, Qinghua & Yao, Haixiang & Hou, Tiancheng, 2018. "An accurate European option pricing model under Fractional Stable Process based on Feynman Path Integral," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 494(C), pages 87-117.
    18. Axel A. Araneda & Marcelo J. Villena, 2018. "Computing the CEV option pricing formula using the semiclassical approximation of path integral," Papers 1803.10376, arXiv.org.
    19. Padmakumari, Lakshmi & S., Maheswaran, 2017. "A new statistic to capture the level dependence in stock price volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 355-362.
    20. Diep Duong & Norman Swanson, 2013. "Density and Conditional Distribution Based Specification Analysis," Departmental Working Papers 201312, Rutgers University, Department of Economics.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jfnres:v:11:y:1988:i:3:p:201-214. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/sfaaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.