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A Comparison Of Listed Option Premiums And Black And Scholes Model Prices: 1973–1979

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  • Gary Trennepohl

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  • Gary Trennepohl, 1981. "A Comparison Of Listed Option Premiums And Black And Scholes Model Prices: 1973–1979," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 4(1), pages 11-20, March.
    • Handle: RePEc:bla:jfnres:v:4:y:1981:i:1:p:11-20
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1981.tb00286.x
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    References listed on IDEAS

    as
    1. 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.
    2. Galai, Dan, 1977. "Tests of Market Efficiency of the Chicago Board Options Exchange," The Journal of Business, University of Chicago Press, vol. 50(2), pages 167-197, April.
    3. Smith, Clifford Jr., 1976. "Option pricing : A review," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 3-51.
    4. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
    5. Latane, Henry A & Rendleman, Richard J, Jr, 1976. "Standard Deviations of Stock Price Ratios Implied in Option Prices," Journal of Finance, American Finance Association, vol. 31(2), pages 369-381, May.
    6. 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 637-654, May-June.
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    Cited by:

    1. Hun Y. Park & R. Stephen Sears, 1985. "Changing Volatility And The Pricing Of Options On Stock Index Futures," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(4), pages 265-274, December.

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