This study examines whether earnings changes convey information in bond markets and finds a significant positive (negative) reaction to unexpected earnings increases (decreases). The results are consistent whether earnings announcements precede or follow dividend announcements. Thus, earnings...

This study is an <italic>ex post</italic> performance test comparing the accuracy of an American model to a European model for valuing listed options. Specifically, the Geske and Johnson American put valuation model is compared with the Black and Scholes European put model. On average, both models undervalue,...

Using an intuitive approach that also provides new intuition concerning the Black and Scholes equation, this paper extends the results of Johnson and Stulz to the pricing of options on the minimum or the maximum of <italic>several</italic> risky assets.

The Monte Carlo method is used to solve for the price of a call when the variance is changing stochastically.

We study the intraday behavior of bid-ask spreads for actively traded CBOE options and for their NYSE-traded underlying stocks. We confirm previous findings that stocks have a U-shaped spread pattern; however, the options display a very different intraday pattern—one that declines sharply...

What happens to the price of a put in a period during which the stock price stays constant? The hedging strategy implicit in the Black-Scholes model would seem to imply that the put goes up in value. Pure arbitrage arguments imply the opposite result. This paper resolves the paradox and uses it...