Menu Expand

An Empirical Law of the Stock Option Market

Cite JOURNAL ARTICLE

Style

Abel, U., Boing, G. An Empirical Law of the Stock Option Market. Journal of Contextual Economics – Schmollers Jahrbuch, 106(1), 15-24. https://doi.org/10.3790/schm.106.1.15
Abel, U. and Boing, G. "An Empirical Law of the Stock Option Market" Journal of Contextual Economics – Schmollers Jahrbuch 106.1, 1986, 15-24. https://doi.org/10.3790/schm.106.1.15
Abel, U./Boing, G. (1986): An Empirical Law of the Stock Option Market, in: Journal of Contextual Economics – Schmollers Jahrbuch, vol. 106, iss. 1, 15-24, [online] https://doi.org/10.3790/schm.106.1.15

Format

An Empirical Law of the Stock Option Market

Abel, U. | Boing, G.

Journal of Contextual Economics – Schmollers Jahrbuch, Vol. 106 (1986), Iss. 1 : pp. 15–24

Additional Information

Article Details

Abel, U.

Boing, G.

References

  1. (1) Baumol, W.J., B. G. Malkiel and R. E. Quandt (1966), The Valuation of Convertible Securities. Quarterly Journal of Economics 80, 48 - 59.  Google Scholar
  2. (2) Black, F. and M. Scholes (1972), The Valuation of Option Contracts and a Test of Market Efficiency. Journal of Finance 27, 399 - 418.  Google Scholar
  3. (3) Black, F. and M. Scholes (1973), The Pricing of Options and Corporate Liabilities. Journal of Political Economy 81, 637 - 54.  Google Scholar
  4. (4) Boness, J. A. (1964), Elements of a Theory of Stock-Option Values. Journal of Political Economy 72, 163 - 75.  Google Scholar
  5. (5) Chen, A.H. Y. (1970), A Model of Warrant Pricing in a Dynamic Market. Journal of Finance 25, 1041 - 60.  Google Scholar
  6. (6) Chiras, D. P. and S. Manaster (1978), The Informational Contents of Option Prices and a Test of Market Efficiency. Journal of Financial Economics 6, 213 -34.  Google Scholar
  7. (7) Cootner, P. A. (1967), The Random Character of Stock Market Prices. Cambridge, Mass.  Google Scholar
  8. (8) Finnerty, J. E. (1978), The Chicago Board Options Exchange and Market Efficieny. Journal of Financial and Quantitative Analysis 13, 29 - 38.  Google Scholar
  9. (9) Galai, D. (1977), Tests of Option Market Efficiency of the Chicago Boards Options Exchange. Journal of Business 50, 167 - 97.  Google Scholar
  10. (10) Kassouf, S. I. (1969), Evaluation of Convertible Securities. New York.  Google Scholar
  11. (11) Latane, H. and R. J. Rendleman (1976), Standard Deviation of Stock Price Ratios Implied in Option Premia. Journal of Finance 31, 369 - 82.  Google Scholar
  12. (12) Merton, R. C. (1973), Theory of Rational Option Pricing. Bell Journal of Economics and Management Science, 141 - 83.  Google Scholar
  13. (13) Patell, S. M. and M. A. Wolfson (1979), Anticipated Information Releases Reflected in Call Option Prices. Journal of Accounting and Economics 1, 117 - 40.  Google Scholar
  14. (14) Rendleman, R. and B. Bartter (1979), Two-State Option Prieing. Journal of Finance 34, 1093- 1110. (15) Schmalensee, R. and R. R. Trippi (1978), Common Stock Volatility Expectations Implied by Option Premia. Journal of Finance 33, 129 - 47.  Google Scholar
  15. (16) Whaley, R. E. (1982), Valuation of American Call Options on Dividend-Paying Stocks. Journal of Financial Economics 10, 29 - 58.  Google Scholar

Abstract

It is shown that the relationship between the prices of options out of the money and the difference between stock and exercise prices, the former being fixed, is approximately loglinear. This finding can be applied in various ways