Menu Expand

Stock Price Distribution Versus Time to Maturity of Associated Options

Cite JOURNAL ARTICLE

Style

Abel, U., Boing, G. Stock Price Distribution Versus Time to Maturity of Associated Options. Journal of Contextual Economics – Schmollers Jahrbuch, 107(2), 201-205. https://doi.org/10.3790/schm.107.2.201
Abel, Ulrich and Boing, Georg "Stock Price Distribution Versus Time to Maturity of Associated Options" Journal of Contextual Economics – Schmollers Jahrbuch 107.2, 1987, 201-205. https://doi.org/10.3790/schm.107.2.201
Abel, Ulrich/Boing, Georg (1987): Stock Price Distribution Versus Time to Maturity of Associated Options, in: Journal of Contextual Economics – Schmollers Jahrbuch, vol. 107, iss. 2, 201-205, [online] https://doi.org/10.3790/schm.107.2.201

Format

Stock Price Distribution Versus Time to Maturity of Associated Options

Abel, Ulrich | Boing, Georg

Journal of Contextual Economics – Schmollers Jahrbuch, Vol. 107 (1987), Iss. 2 : pp. 201–205

Additional Information

Article Details

Abel, Ulrich

Boing, Georg

Abstract

An empirial analysis shows that the differences between stock prices and adjacent exercise prices of associated options are heavily influenced by time to options expirations. On expiration dates and, to a lesser degree, during the two following weeks, these differences have a significant bias towards zero whereas the opposite holds four weeks before expiration.