A test of the efficiency of the Chicago Board Options Exchange, relative to postsplit increases in the volatility of common stocks, is presented. The Black-Scholes and Roll option pricing formulas are used to examine the behavior of implied standard deviations around split announcement and...

This article examines the behavior of common stock return volatility forecasts implied by call option prices and studies the relationship between implied volatilities and stock returns. The author estimates a model that integrates the findings of previous theoretical and empirical research. The...

The purpose of this article is to propose and price a new type of adjustable-rate mortgage: the FIREARM ("Falling Interest Rate Adjustable-Rate Mortgage"). The interest payments on this mortgage adjust downward whenever interest rates decline, while remaining stable when interest rates increase....

This paper develops and tests arbitrage bounds for a combination of two option spread positions known as a box spread. This strategy involves the simultaneous use of four options and creates a position that is equivalent to riskless lending. The no-arbitrage conditions are compared to existing...