User profiles for R. E. Whaley
Robert WhaleyProfessor of Finance, Vanderbilt University Verified email at vanderbilt.edu Cited by 23898 |
Valuation of American futures options: Theory and empirical tests
RE Whaley - The Journal of Finance, 1986 - Wiley Online Library
… 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 …
derived by Barone-Adesi and Whaley 3. The method is based on MacMillan's 16 quadratic …
Implied volatility functions: Empirical tests
… 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 …
… Whaley is T. Austin Finch Foundation Professor of Business Administration, Fuqua School of …
Efficient analytic approximation of American option values
G Barone‐Adesi, RE Whaley - the Journal of Finance, 1987 - Wiley Online Library
… 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. …
Whaley 19. … Both of these American futures option-price approximations are used in Whaley 21. …
Valuation of American call options on dividend-paying stocks: Empirical tests
RE Whaley - Journal of Financial Economics, 1982 - Elsevier
… 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 …
on dividend-paying stocks … RE Whaley, Valuation of call options on dividend-paying stocks …
The dynamics of stock index and stock index futures returns
HR Stoll, RE Whaley - Journal of Financial and Quantitative analysis, 1990 - cambridge.org
In rational, efficiently functioning markets, the returns on stock index and stock index futures
contracts should be perfectly, contemporaneously correlated. This study investigates the …
contracts should be perfectly, contemporaneously correlated. This study investigates the …
The investor fear gauge
RE Whaley - Journal of portfolio management, 2000 - search.proquest.com
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 …
fear gauge." To understand why, it is necessary to understand the index's construction. To …
Does net buying pressure affect the shape of implied volatility functions?
NPB Bollen, RE Whaley - The Journal of Finance, 2004 - Wiley Online Library
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 …
volatility function (IVF) for index and individual stock options. We find that changes in …
[PDF][PDF] Understanding the VIX
RE Whaley - Journal of Portfolio Management, 2009 - researchgate.net
… 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: …
VIX has remained above a level of 34.22. Four periods of more than 20 days can be identified: …
Transaction costs and the small firm effect
HR Stoll, RE Whaley - Journal of Financial Economics, 1983 - Elsevier
… 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/…
Transaction costs and the si:e efecr … HR Sroll and RE Whaley, Transacrion costs and rhe size ef/…
Stock market structure and volatility
HR Stoll, RE Whaley - The Review of Financial Studies, 1990 - academic.oup.com
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. …
framework for assessing the magnitude of the structurally induced volatility is presented. …