Tannous acknowledges receiving a travel grant from the Edwards School of Business in support of this research. The authors are indebted to an anonymous referee for providing valuable comments and recommendations and we thank Cynthia J. Campbell (the editor) for her help and patience during the revision process. Special thanks go to M. Ayadi, E. Biktimirov, D. Cyr, and R. Welsh, who provided helpful suggestions and ideas during a presentation at Brock University. Any remaining errors are our responsibility.
Expected Time Value Decay of Options: Implications for Put-Rolling Strategies
Version of Record online: 31 MAR 2008
©2008, The Eastern Finance Association
Volume 43, Issue 2, pages 191–218, May 2008
How to Cite
Tannous, G. F. and Lee-Sing, C. (2008), Expected Time Value Decay of Options: Implications for Put-Rolling Strategies. Financial Review, 43: 191–218. doi: 10.1111/j.1540-6288.2008.00191.x
- Issue online: 31 MAR 2008
- Version of Record online: 31 MAR 2008
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