Details about Don Chance

Access statistics for papers by Don Chance.

Last updated 2023-08-24. Update your information in the RePEc Author Service.

Short-id: pch2175

Journal Articles

2017

1. A bias in the volatility smile
   Review of Derivatives Research, 2017, 20, (1), 47-90 View citations (1)

2014

2. THE PRICE-TAKER EFFECT ON THE VALUATION OF EXECUTIVE STOCK OPTIONS
   Journal of Financial Research, 2014, 37, (1), 27-54

2012

3. Private Information and the Exercise of Executive Stock Options
   Financial Management, 2012, 41, (3), 733-764 View citations (21)

2011

4. Experimental Evidence on Portfolio Size and Diversification: Human Biases in Naïve Security Selection and Portfolio Construction
   The Financial Review, 2011, 46, (3), 427-457 View citations (2)

2008

5. Pricing an Option on Revenue from an Innovation: An Application to Movie Box Office Revenue
   Management Science, 2008, 54, (5), 1015-1028 View citations (3)

2005

6. Discretionary trading and the search for alpha
   Journal of Asset Management, 2005, 6, (2), 117-135

1994

7. Futures pricing and the cost of carry under price limits
   Journal of Futures Markets, 1994, 14, (7), 813-836 View citations (2)
8. THE PRICING AND HEDGING OF LIMITED EXERCISE CAPS AND SPREADS
   Journal of Financial Research, 1994, 17, (4), 561-584 View citations (4)

1993

9. The impact of delivery options on futures prices: A survey
   Journal of Futures Markets, 1993, 13, (2), 127-155 View citations (7)

1988

10. BOUNDARY CONDITION TESTS OF BID AND ASK PRICES OF INDEX CALL OPTIONS
    Journal of Financial Research, 1988, 11, (1), 21-31 View citations (3)

1980

11. A RE-EXAMINATION OF INTEREST RATE SENSITIVITY IN THE COMMON STOCKS OF FINANCIAL INSTITUTIONS
    Journal of Financial Research, 1980, 3, (1), 49-55 View citations (33)

Chapters

2007

1. Black–Scholes–Merton, Liquidity, and the Valuation of Executive Stock Options
   A chapter in Issues in Corporate Governance and Finance, 2007, pp 271-310