JOURNAL ARTICLE
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Stock Price Distribution Versus Time to Maturity of Associated Options
Journal of Contextual Economics – Schmollers Jahrbuch, Vol. 107 (1987), Iss. 2 : pp. 201–205
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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.