Year: 1987
Author: Abel, Ulrich, Boing, Georg
Journal of Contextual Economics – Schmollers Jahrbuch, Vol. 107 (1987), Iss. 2 : pp. 201–205
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.
Journal Article Details
Publisher Name: Global Science Press
Language: Multiple languages
DOI: https://doi.org/10.3790/schm.107.2.201
Journal of Contextual Economics – Schmollers Jahrbuch, Vol. 107 (1987), Iss. 2 : pp. 201–205
Published online: 1987-02
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 5