Managerial Finance


Accounting and Finance

Table Of Contents: Volume 21 Issue 10

Valuation of Executive Stock Options

Roger P. Bey, Larry J. Johnson

The executive stock option (ESO) valuation model developed in this research amends the popular exchange traded option pricing models such as Black and Scholes (1973)…

A Case Study of a Failed Call Options Market

M. Ariff, P.K. Chan, L.W. Johnson

Three years after the introduction of exchange‐traded options on the American scene, a call options market was made with ten popular common stocks in Singapore in early…

Black Scholes, As Compared to Observed Prices: An Empirical Study

Salil K. Sarkar

The Black Scholes option pricing model has been put to extensive application both in research and in actual market place. However, the inputs for the model are generally…

An Investigation of the Causal Relationships Between Index and Component Stock Implied Volatility

Francis E. Laatsch, Shane A. Johnson

We investigate the causal relationships between volatility implied in Major Market Index (MMI) options and its component stocks' options from January, 1987 to October…

Implied Volatility vs. GARCH: A Comparison of Forecasts

Kenneth S. Bartunek, Mustafa Chowdhury

In this paper we compare three types of forecasts of the volatility of equity returns series. The first is an historical estimate based on a simple sample standard…



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  • Professor Don Johnson