Bakshi, Gurdip; Cao, Charles; Chen, Zhiwu - In: Review of Financial Studies 13 (2000) 3, pp. 549-84
This article empirically analyzes some properties shared by all one-dimensional diffusion option models. Using S&P 500 options, we find that sampled intraday (or interday) call (put) prices often go down (up) even as the underlying price goes up, and call and put prices often increase, or...