Hallerbach (2004) derives an approximation formula to compute a Black-Scholes implied volatility. This formula is equivalent to equation (7) in Corrado and Miller (1996a), with the substitution of a geometric average of stock and strike prices in place of an arithmetic average. Ceteris paribus...

We examine the forecast quality of Chicago Board Options Exchange (CBOE) implied volatility indexes based on the Standard and Poor's 100 and Nasdaq 100 stock indexes. We find that the forecast quality of CBOE implied volatilities for the Samp;P 100 (VIX) has significantly improved in recent...

We examine the riskless box spread trading strategy before and after the 1987 Market Crash using intraday data for Samp;P 500 Index (SPX) options. We find that the Crash had a significant impact on trading profitability. Before the Crash, apparently profitable trading opportunities were rare and...

In the United States, the lowest interest rate cap on small-dollar installment loans 17 percent is in Arkansas. No small-dollar installment lenders operate within Arkansas, while they do in all six states bordering Arkansas providing a natural experiment to examine the effects of a binding...

The academic literature generally concludes that the Black-Scholes model overstates the value of employee stock options (ESOs). In particular, because ESOs cannot be traded, employee risk aversion often elicits premature exercise. As a result, the ESO is less valuable than a traded option. An...

Existing empirical studies of the put-call parity condition report frequent, substantial violations. An important problem in interpreting these results is that these studies all investigate American options. While some of these studies attempt to reduce the effects of possible early exercise on...

We examine market efficiency before and after the 1987 Market Crash using the box spread strategy implemented with European-style Samp;P~500 Index (SPX) options. Before the Crash, apparent arbitrage opportunities were rare and simulated trades were unprofitable assuming a one-minute execution...