Kumar and Sarin are from the Virginia Polytechnic Institute and State University. Shastri is from the University of Pittsburgh. We would like to thank Don Chance, David Denis, Edwin Elton, Vidhan Goyal, Narayanan Jayaraman, Michael Jensen, Martin Lally, Anil Makhija, Karen Shastri, Clifford Smith, Hans Stoll, Robert Whaley, and participants of finance workshops at Kent State University and the University of Pittsburgh for their many comments and suggestions. Earlier versions of this paper were presented at the 1991 Eastern Finance Association Meetings, the 1991 Financial Management Association Meetings, and the 1992 American Finance Association Meetings.
The Behavior of Option Price Around Large Block Transactions in the Underlying Security
Article first published online: 30 APR 2012
1992 The American Finance Association
The Journal of Finance
Volume 47, Issue 3, pages 879–889, July 1992
How to Cite
KUMAR, R., SARIN, A. and SHASTRI, K. (1992), The Behavior of Option Price Around Large Block Transactions in the Underlying Security. The Journal of Finance, 47: 879–889. doi: 10.1111/j.1540-6261.1992.tb03998.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
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