Moore is from Victoria University of Wellington. Juh is from Lehman Brothers. The paper was written when both authors were at Northwestern University. The authors would like to thank Kathleen Hagerty for many long, detailed explanations of derivative pricing theory and excellent suggestions to improve the paper. Ran Abramitzky, Andrew Hertzberg, Jon Huntley, Robert Korajczyk, Robert McDonald, Joel Mokyr, Warwick Moore, Eugene Orlov, Ronnie Sadka, Ellis Tallman, Ryan White, and an anonymous referee all provided excellent advice and suggestions, as did seminar participants at Northwestern University and at the European Social Science History Conference. Discussions with officials of the Johannesburg Stock Exchange were very useful, as were the data they provided. All errors remain our own. The financial support of the Economic History Association and from a Northwestern University Dissertation Year Fellowship are gratefully acknowledged.
Derivative Pricing 60 Years before Black–Scholes: Evidence from the Johannesburg Stock Exchange
Version of Record online: 11 JAN 2007
© 2006 the American Finance Association
The Journal of Finance
Volume 61, Issue 6, pages 3069–3098, December 2006
How to Cite
MOORE, L. and JUH, S. (2006), Derivative Pricing 60 Years before Black–Scholes: Evidence from the Johannesburg Stock Exchange. The Journal of Finance, 61: 3069–3098. doi: 10.1111/j.1540-6261.2006.01012.x
- Issue online: 11 JAN 2007
- Version of Record online: 11 JAN 2007
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