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Reset Put Options: Valuation, Risk Characteristics, and an Application
Gray, Stephen F.; Whaley, Robert E. - In: Australian Journal of Management 24 (1999) 1, pp. 1-20
A reset put option is similar to a standard put option except that the exercise price is reset equal to the stock price on the preâ€specified reset date if this stock price exceeds the original exercise price. In this paper we derive a valuation for Mula for a reset put option and present a...
Persistent link: https://www.econbiz.de/10010769536
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Regime switching in foreign exchange rates: Evidence from currency option prices
Bollen, Nicolas P. B.; Gray, Stephen F.; Whaley, Robert E. - In: Journal of Econometrics 94 (2000) 1-2, pp. 239-276
Persistent link: https://www.econbiz.de/10005238963
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Stock splits: implications for investor trading costs
Gray, Stephen F.; Smith, Tom; Whaley, Robert E. - In: Journal of Empirical Finance 10 (2003) 3, pp. 271-303
Persistent link: https://www.econbiz.de/10005199013
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Papers - 1 - Reset Put Options: Valuation, Risk Characteristics, and an Application
Gray, Stephen F.; Whaley, Robert E. - In: Australian journal of management 24 (1999) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10006987974
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Stock splits: implications for investor trading costs
Gray, Stephen F.; Smith, Tom; Whaley, Robert E. - In: Journal of empirical finance 10 (2003) 3, pp. 271-304
Persistent link: https://www.econbiz.de/10007233233
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Valuation of American futures options : theory and empirical tests
Whaley, Robert E. - In: The journal of finance : the journal of the American … 41 (1986) 1, pp. 127-150
Persistent link: https://www.econbiz.de/10001008808
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Intraday price observations : on computing portfolio returns
Whaley, Robert E. - In: Review of futures markets 12 (1994) 1, pp. 175-190
Persistent link: https://www.econbiz.de/10001183623
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Derivatives
Whaley, Robert E. - 2003
Persistent link: https://www.econbiz.de/10001832928
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Understanding the VIX
Whaley, Robert E. - In: The journal of portfolio management : a publication of … 35 (2008/09) 3, pp. 98-105
Persistent link: https://www.econbiz.de/10003852143
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Trading volatility : at what cost?
Whaley, Robert E. - In: The journal of portfolio management : a publication of … 40 (2013) 1, pp. 95-108
Persistent link: https://www.econbiz.de/10010246274