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| Author: | Loudon, G. F. |
| Title: | American put pricing : Australian evidence |
| Journal: | Journal of Business Finance and Accounting
1990 : SPRING, VOL. 17:2, p. 297-321 |
| Index terms: | PRICING SHARE PRICES AUSTRALIA MULTIVARIATE ANALYSIS ARBITRAGE PRICING THEORY |
| Language: | eng |
| Abstract: | Empirical evidence is provided on the comparative price predictive ability of four put option pricing models which differ as to how they account for dividends and the value of early exercise. The instantaneous variance of share price returns is estimated in three ways and the tests are also conducted on a filtered sample excluding prices violating arbitrage free pricing bounds. Correlations between the market and the various model prices range from 0,948 to 0,975. Univariate and multivariate analysis of pricing errors provides evidence on systematic issues. |
SCIMA