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Valuation of American call options on dividend-paying stocks : Empirical tests

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Author Info
Whaley, Robert E.
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 10 (1982)
Issue (Month): 1 (March)
Pages: 29-58
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Handle: RePEc:eee:jfinec:v:10:y:1982:i:1:p:29-58

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Web page: http://www.elsevier.com/locate/inca/505576

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  1. Éric Jacquier & Robert Jarrow, 1996. "Model Error in Contingent Claim Models Dynamic Evaluation," CIRANO Working Papers 96s-12, CIRANO. [Downloadable!]
    Other versions:
  2. Bhupinder Bahra, . "Implied risk-neutral probability density functions from option prices: theory and application," Bank of England working papers 66, Bank of England. [Downloadable!]
  3. Jaesun Noh & Robert F. Engle & Alex Kane, 1993. "A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts," NBER Working Papers 4520, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. Michael T. Belongia & Thomas H. Gregory, 1984. "Are options on treasury bond futures price efficiently?," Review, Federal Reserve Bank of St. Louis, issue Jan, pages 5-13. [Downloadable!]
  5. Bernard Dumas & Jeff Fleming & Robert E. Whaley, 1996. "Implied Volatility Functions: Empirical Tests," NBER Working Papers 5500, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  6. Marc Chesney, Jean Lefoll, 1996. "Predicting premature exercise of an American put on stocks: theory and empirical evidence," European Journal of Finance, Taylor and Francis Journals, vol. 2(1), pages 21-39, March. [Downloadable!] (restricted)
  7. Ren-Raw Chen & Oded Palmon, 2005. "A Non-Parametric Option Pricing Model: Theory and Empirical Evidence," Review of Quantitative Finance and Accounting, Springer, vol. 24(2), pages 115-134, January. [Downloadable!] (restricted)
  8. Ghulam Sarwar, 2005. "The Informational Role of Option Trading Volume in Equity Index Options Markets," Review of Quantitative Finance and Accounting, Springer, vol. 24(2), pages 159-176, January. [Downloadable!] (restricted)
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