… The analytic approximation of American futures option values used in this study is that
derived by Barone-Adesi and Whaley 3. The method is based on MacMillan's 16 quadratic …

… Whaley is T. Austin Finch Foundation Professor of Business Administration, Fuqua School
… Whaley is T. Austin Finch Foundation Professor of Business Administration, Fuqua School of …

… early exercise of the call and put options written on commodities is provided in Stoll and
Whaley 19. … Both of these American futures option-price approximations are used in Whaley 21. …

… RE Whaley, Valuation of call options on dividend-paying … RE Whaley, Valuation of call options
on dividend-paying stocks … RE Whaley, Valuation of call options on dividend-paying stocks …

In rational, efficiently functioning markets, the returns on stock index and stock index futures
contracts should be perfectly, contemporaneously correlated. This study investigates the …

The Chicago Board of Options Exchange's Market Volatility Index (VIX) is called the" investor
fear gauge." To understand why, it is necessary to understand the index's construction. To …

This paper examines the relation between net buying pressure and the shape of the implied
volatility function (IVF) for index and individual stock options. We find that changes in …

… Suppose we re-examine the VIX history to count the number of consecutive days that the
VIX has remained above a level of 34.22. Four periods of more than 20 days can be identified: …

… HR St011 and RE Whaley, Transaction costs and the size … HR Stall and RE Whaley,
Transaction costs and the si:e efecr … HR Sroll and RE Whaley, Transacrion costs and rhe size ef/…

The procedure for opening stocks on the NYSE appears to affect price volatility. An analytical
framework for assessing the magnitude of the structurally induced volatility is presented. …