TRANSACTIONS DATA TESTS OF THE BLACK MODEL FOR SOYBEAN FUTURES OPTIONS

被引:5
作者
JORDAN, JV
SEALE, WE
MCCABE, NC
KENYON, DE
机构
[1] COMMOD FUTURES TRADING COMMISS,WASHINGTON,DC
[2] VIRGINIA POLYTECH INST & STATE UNIV,BLACKSBURG,VA 24061
关键词
D O I
10.1002/fut.3990070507
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:535 / 554
页数:20
相关论文
共 30 条
[1]   THE TIME-PATTERN OF HEDGING AND THE VOLATILITY OF FUTURES PRICES [J].
ANDERSON, RW ;
DANTHINE, JP .
REVIEW OF ECONOMIC STUDIES, 1983, 50 (02) :249-266
[2]  
ANDERSON RW, 1985, J FUTURES MARKETS, V5, P332
[3]   THE CONSTANT ELASTICITY OF VARIANCE MODEL AND ITS IMPLICATIONS FOR OPTION PRICING [J].
BECKERS, S .
JOURNAL OF FINANCE, 1980, 35 (03) :661-673
[4]   STANDARD DEVIATIONS IMPLIED IN OPTION PRICES AS PREDICTORS OF FUTURE STOCK-PRICE VARIABILITY [J].
BECKERS, S .
JOURNAL OF BANKING & FINANCE, 1981, 5 (03) :363-381
[5]  
Belongia M. T., 1984, Federal Reserve Bank of St. Louis Review, V66, P5
[6]   PRICING OF COMMODITY CONTRACTS [J].
BLACK, F .
JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (1-2) :167-179
[7]   PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].
BLACK, F ;
SCHOLES, M .
JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :637-654
[8]   PRICING OPTIONS ON AGRICULTURAL FUTURES - AN APPLICATION OF THE CONSTANT ELASTICITY OF VARIANCE OPTION PRICING MODEL [J].
CHOI, JW ;
LONGSTAFF, FA .
JOURNAL OF FUTURES MARKETS, 1985, 5 (02) :247-258
[9]  
Cox J., 1975, NOTES OPTION PRICING, V1
[10]   OPTION PRICING - SIMPLIFIED APPROACH [J].
COX, JC ;
ROSS, SA ;
RUBINSTEIN, M .
JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (03) :229-263