Charles J. Corrado

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The Black-Scholes (1973) option pricing model is used to value a wide range of option contracts. However, the model often inconsistently prices deep in-the-money and deep out-of-the-money options. Options' professionals refer to this phenomenon as a volatility 'skew' or 'smile.' In this paper, we apply an extension of the Black-Scholes model developed by(More)
We investigate the effectiveness of several well-known parametric and non-parametric event study test statistics with security price data from the major Asia-Pacific security markets. Extensive Monte Carlo simulation experiments with actual daily security returns data reveal that the parametric test statistics are prone to misspecification with Asia-Pacific(More)
1 This is a revised version of a paper with the title " A Class of Nonlinear Stochastic Volatility Models " by Jun Yu and Zhenlin Yang. That version of the paper used different datasets as well as different estimation techniques and did not have the section on option pricing. Jun Yu has benefited greatly from conversations with Ronald Gallant and Genshiro(More)
This paper surveys the influence of research journals on finance doctoral education. Influence is measured by citations from syllabi of finance seminars offered during Fall 1993 through Spring 1995. A sample of 101 distinct syllabi submitted by 33 finance doctoral programs yields a list of 1,031 articles cited by at least two schools. These 1,031 articles(More)
We compare the incremental information content of implied volatility and intraday high-low range volatility in the context of conditional volatility forecasts for three major market indexes: the S&P 100, the S&P 500, and the Nasdaq 100. Evidence obtained from out-of-sample volatility forecasts indicates that neither implied volatility nor intraday high-low(More)
In the money management industry, there is a " quiet " controversy over who does a better job, Traditional Managers (Fundamentalists), or Quantitative Managers. This issue has been examined by Gruber (1996), and Pastor and Stambaugh (2003) and more recently by Zhao (2006) and Wermers, Yao and Zhao (2007) using mutual fund portfolios. We reexamine this issue(More)
BACKGROUND Currently international literature describes physiotherapy in cerebral palsy (CP) children only in generic terms (traditional / standard / background / routine). AIM The aim of this study is to create a checklist capable of describing the different modalities employed in physiotherapeutic treatment by means of a non-bias, common, universal,(More)