IN THIS PAPER WE present an elemental two-state option pricing model (TSOPM) which is
mathematically simple, yet can be used to solve many complex option pricing problems.'In …

370 The Journal of Finance deviations (WISDs) are used as the basis for many of the empirical
tests in this paper. Specifically (a) we explore the usefulness of the WISD in reducing risk …

The Black‐Scholes option pricing model, modified for dividend payments, is used to calculate
jointly implied stock prices and implied standard deviations. A comparison of the implied …

The purpose of this paper is to reexamine Reinganum's study which indicates that abnormal
returns could not be earned unexpected quarterly earnings information, and to document …

In this paper we present a method for valuing American and European put and call options
on debt securities. Although no exhange-traded options of this type currently exist in the …

Studying size and serial correlation effects, the authors examine why portfolios selected on
the basis of standardized unexpected earnings (SUEs) exhibit excess returns. Results of the …

On January 6, 1976, the International Monetary Market of the Chicago Mercantile Exchange
began trading the Treasury bill futures contract. Compared with other financial instruments, …

This study provides evidence on the relevance and reliability of option pricing-based value
estimates for bonds and their components, ie, conversion, call, put and sinking fund features. …

In this study, we implement a random-effects model that estimates cubic spline-based time-dependent
skill functions for 253 active PGA Tour golfers over the 1998–2001 period. Our …

Background Asay and Edelsberg examined the problem of volatility misestimation in the
context of synthetic portfolio insurance but dismissed it as insignificant. 2 Their conclusions, …