Failure to exercise call options: An anomaly and a trading game
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- Geske, Robert, 1979. "A note on an analytical valuation formula for unprotected American call options on stocks with known dividends," Journal of Financial Economics, Elsevier, vol. 7(4), pages 375-380, December.
- Jia Hao & Avner Kalay & Stewart Mayhew, 2010. "Ex-dividend Arbitrage in Option Markets," Review of Financial Studies, Society for Financial Studies, vol. 23(1), pages 271-303, January.
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- Allen M. Poteshman & Vitaly Serbin, 2003. "Clearly Irrational Financial Market Behavior: Evidence from the Early Exercise of Exchange Traded Stock Options," Journal of Finance, American Finance Association, vol. 58(1), pages 37-70, 02.
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- Stanton, Richard, 1995. "Rational Prepayment and the Valuation Mortgage-Backed Securities," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 677-708.
- Barone-Adesi, Giovanni & Whaley, Robert E, 1987. " Efficient Analytic Approximation of American Option Values," Journal of Finance, American Finance Association, vol. 42(2), pages 301-20, June.
- Dunn, Kenneth B. & Eades, Kenneth M., 1989. "Voluntary conversion of convertible securities and the optimal call strategy," Journal of Financial Economics, Elsevier, vol. 23(2), pages 273-301, August.
- Nicolas P. B. Bollen & Robert E. Whaley, 2004. "Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?," Journal of Finance, American Finance Association, vol. 59(2), pages 711-753, 04.
- Overdahl, James A., 1988. "The Early Exercise of Options on Treasury Bond Futures," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(04), pages 437-449, December.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
- Castanias, Rick & Chung, Ki-Young & Johnson, Herb, 1988. "Dividend Spreads," The Journal of Business, University of Chicago Press, vol. 61(3), pages 299-319, July.
- Roll, Richard, 1977. "An analytic valuation formula for unprotected American call options on stocks with known dividends," Journal of Financial Economics, Elsevier, vol. 5(2), pages 251-258, November.
- Finucane, Thomas J., 1997. "An empirical analysis of common stock call exercise: A note," Journal of Banking & Finance, Elsevier, vol. 21(4), pages 563-571, April.
- Whaley, Robert E., 1981. "On the valuation of American call options on stocks with known dividends," Journal of Financial Economics, Elsevier, vol. 9(2), pages 207-211, June.
- Chip Heath & Steven Huddart & Mark Lang, 1999. "Psychological Factors and Stock Option Exercise," The Quarterly Journal of Economics, Oxford University Press, vol. 114(2), pages 601-627.
- Kalay, Avner & Subrahmanyam, Marti G, 1984. "The Ex-Dividend Day Behavior of Option Prices," The Journal of Business, University of Chicago Press, vol. 57(1), pages 113-28, January.
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