Publisher Summary This chapter focuses on the central empirical issue in option pricing,
which is whether the distributions implicit in option prices are consistent with the conditional …

Existing empirical studies of the put-call parity condition report frequent, substantial
violations. An important problem in interpreting these results is that these studies all …

Standard deviations and elasticity of variance coefficients implied in currency option prices
are employed to predict subsequent currency return volatility. Despite documented variance …

We test exchange-traded (PHLX) German mark options for conformance to put-call parity
(PCP). Puts and calls are matched to the nearest minute, and the relative impact of …

We investigate the effects of US balance of trade deficit announcements on the ex ante
volatility of foreign exchange rates. Specifically, we analyze the association between …

Abstract The Derivatives Sourcebook is a citation study and classification system that
organizes the many strands of the derivatives literature and assigns each citation to a …

Numerous empirical studies report striking price biases in the Black-Scholes option pricing
model. This paper provides evidence that many of these biases are consistent with small …

This paper examines the mispricing behavior of the BS option pricing model through the
comparison of simultaneous equation solutions for implied present value of ex-dividends …

The paper examines the medium-term forecasting ability of several alternative models of
currency volatility. The data period covers more than eight years of daily observations …

A large body of literature investigates various issues by using parameters inferred from the
Black-Scholes formula. Little of this research conducts statistical tests of hypotheses …