options, traded on the options exchange, exist.Both entitle their holders to buy shares of common stock.We use the long …-term call options in order to price the call warrants.Using the model of Black and Scholes (1973), the Square Root model version …

models are applied to better-of-two-markets and worse-of-two-markets options on the S&P500 and Nasdaq indexes.Results show …

mo- mentum. This paper studies the pricing of options in such a situation, within a new model in which the dividend yield …, moreover, it renders preference-free formulas for European options. A momentum- inducing dividend yield implies that calls will … out-of-the money options. …

samples, namely, listing of call options alone, simultaneous listings of both call and put options, and listings of put … options alone. A significant decline in stock price is observed with the introduction of option trading. But, no significant …

We investigate the efficiency of the market for 5 year call options which are traded on the European Options Exchange … inefficiencies in the market for long term call options.This result is in line with previous studies on different kinds of call … options and warrants. The results for the delta-vega and delta-gamma neutral arbitrage strategies differ from the results of …