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- W2079188877 abstract "Roll has recently formulated an option pricing model which allows dividend payments on the underlying stock. This paper compares the performance of the exact Roll model with a modified, but inexact, Black-Scholes model. The results indicate that the Roll model prices are significantly closer to actual market prices." @default.
- W2079188877 created "2016-06-24" @default.
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- W2079188877 date "1982-12-01" @default.
- W2079188877 modified "2023-09-25" @default.
- W2079188877 title "Tests of Two Models for Valuing Call Options on Stocks with Dividends" @default.
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- W2079188877 doi "https://doi.org/10.1111/j.1540-6261.1982.tb03614.x" @default.
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