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Do the options markets really overreact?

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  • Fernando Diz
  • Thomas J. Finucane

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  • Fernando Diz & Thomas J. Finucane, 1993. "Do the options markets really overreact?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(3), pages 299-312, May.
  • Handle: RePEc:wly:jfutmk:v:13:y:1993:i:3:p:299-312
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    Cited by:

    1. Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
    2. David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
    3. Bates, David S., 2000. "Post-'87 crash fears in the S&P 500 futures option market," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 181-238.
    4. Mixon, Scott, 2007. "The implied volatility term structure of stock index options," Journal of Empirical Finance, Elsevier, vol. 14(3), pages 333-354, June.
    5. 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.

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