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Call options and the risk of underlying securities

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  • Jagannathan, Ravi

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 13 (1984)
Issue (Month): 3 (September)
Pages: 425-434

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Handle: RePEc:eee:jfinec:v:13:y:1984:i:3:p:425-434

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

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Cited by:
  1. Eric Rasmusen, 2007. "When Does Extra Risk Strictly Increase an Option's Value?," Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1647-1667, 2007 14.
  2. Eric Rasmusen, 2004. "When Does Extra Risk Strictly Increase the Value of Options?," Finance 0409004, EconWPA.
  3. Antonio Mele, 2003. "Fundamental Properties of Bond Prices in Models of the Short-Term Rate," Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 679-716, July.
  4. Donald Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Yale School of Management Working Papers amz2581, Yale School of Management, revised 01 Jul 2005.
  5. Hyong-Chol O & Ji-Sok Kim, 2013. "General Properties of Solutions to Inhomogeneous Black-Scholes Equations with Discontinuous Maturity Payoffs and Application," Papers 1309.6505, arXiv.org, revised Sep 2013.
  6. Lo, Andrew W. (Andrew Wen-Chuan) & Wang, Jiang, 1959-, 1993. "Implementing option pricing models when asset returns are predictable," Working papers 3593-93., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  7. Kuersten, Wolfgang & Linde, Rainer, 2011. "Corporate hedging versus risk-shifting in financially constrained firms: The time-horizon matters!," Journal of Corporate Finance, Elsevier, vol. 17(3), pages 502-525, June.
  8. Jérôme B. Detemple & Carlton Osakwe, 1999. "The Valuation of Volatility Options," CIRANO Working Papers 99s-43, CIRANO.
  9. Antonio Mele, 2004. "General Properties of Rational Stock-Market Fluctuations," FMG Discussion Papers dp489, Financial Markets Group.
  10. Donald J. Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Cowles Foundation Discussion Papers 1518, Cowles Foundation for Research in Economics, Yale University.
  11. Robert R. Bliss, 2000. "The pitfalls in inferring risk from financial market data," Working Paper Series WP-00-24, Federal Reserve Bank of Chicago.
  12. Lutz Hahnenstein & Klaus Röder, 2007. "Who hedges more when leverage is endogenous? A testable theory of corporate risk management under general distributional conditions," Review of Quantitative Finance and Accounting, Springer, vol. 28(4), pages 353-391, May.
  13. Peter Carr & Christian-Oliver Ewald & Yajun Xiao, 2008. "On the Qualitative Effect of Volatility and Duration on Prices of Asian Options," CRIEFF Discussion Papers 0803, Centre for Research into Industry, Enterprise, Finance and the Firm.
  14. Pirjetä, Antti & Ikäheimo, Seppo & Puttonen, Vesa, 2010. "Market pricing of executive stock options and implied risk preferences," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 394-412, June.
  15. Norden, Lars, 2001. "Hedging of American equity options: do call and put prices always move in the direction as predicted by the movement in the underlying stock price?," Journal of Multinational Financial Management, Elsevier, vol. 11(4-5), pages 321-340, December.

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