Charles J. Corrado

Deakin University - School of Accounting, Economics & Finance

Professor of Finance

221 Burwood Highway

Burwood, Victoria 3215

Australia

  • Deakin University - School of Accounting, Economics & Finance

SCHOLARLY PAPERS

14

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9,980

SSRN CITATIONS
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Top 12,089

in Total Papers Citations

48

CROSSREF CITATIONS

44

Scholarly Papers (14)

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1.

Event Studies: A Methodology Review

Downloads 3,833 ( 2,791)
Citation 29

Event Studies: A Methodology Review

Number of pages: 36 Posted: 02 Aug 2009 Last Revised: 20 Aug 2010
Charles J. Corrado
Deakin University - School of Accounting, Economics & Finance
Downloads 3,829 (2,740)
Citation 11

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Event studies, Abnormal returns, Nonparametric statistical tests

Event Studies: A Methodology Review

Accounting & Finance, Vol. 51, No. 1, pp. 207-234, 2011
Number of pages: 28 Posted: 02 Mar 2011
Charles J. Corrado
Deakin University - School of Accounting, Economics & Finance
Downloads 4 (721,081)
Citation 5
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Financial event study, Abnormal returns, Event-induced volatility

2.

Why We Have Always Used the Black-Scholes-Merton Option Pricing Formula

Number of pages: 11 Posted: 11 Mar 2009 Last Revised: 06 Apr 2009
Charles J. Corrado
Deakin University - School of Accounting, Economics & Finance
Downloads 1,089 (21,743)

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option pricing, put-call parity, dynamic hedging, static hedging, Black-Scholes-Merton

3.

Tweaking Implied Volatility

Number of pages: 9 Posted: 02 Sep 2004
Charles J. Corrado and Thomas W. Miller
Deakin University - School of Accounting, Economics & Finance and Mississippi State University - College of Business
Downloads 888 (29,215)
Citation 1

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Options, implied volatility, implied standard deviation

4.

The Forecast Quality of Cboe Implied Volatility Indexes

Olin School of Business Working Paper No. 2003-08-004
Number of pages: 33 Posted: 16 Sep 2003
Charles J. Corrado and Thomas W. Miller
Deakin University - School of Accounting, Economics & Finance and Mississippi State University - College of Business
Downloads 829 (32,197)
Citation 13

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options, implied volatility, volatility forecasting

5.

Options Trading Volume and Stock Price Response to Earnings Announcements

Downloads 659 ( 43,936)
Citation 6

Options Trading Volume and Stock Price Response to Earnings Announcements

Finance and Corporate Governance Conference 2010 Paper
Number of pages: 48 Posted: 23 Nov 2009
Charles J. Corrado and Cameron Truong
Deakin University - School of Accounting, Economics & Finance and Monash University
Downloads 394 (82,576)
Citation 5

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Options, Trading Volume, Earnings Announcement, Stock Price

Options Trading Volume and Stock Price Response to Earnings Announcements

Australian Centre for Financial Studies - Finsia Banking and Finance Conference 2010
Number of pages: 54 Posted: 02 Jun 2010 Last Revised: 14 Jun 2010
Cameron Truong and Charles J. Corrado
Monash University and Deakin University - School of Accounting, Economics & Finance
Downloads 265 (128,529)
Citation 2

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Options, Trading Volume, Earnings Announcement, Stock Price

6.

Repricing and Employee Stock Option Valuation

Number of pages: 31 Posted: 26 Oct 1998
Charles J. Corrado, Bradford D. Jordan, Thomas W. Miller and John J. Stansfield
Deakin University - School of Accounting, Economics & Finance, University of Florida, Mississippi State University - College of Business and University of Missouri at Columbia - Department of Finance
Downloads 559 (54,357)
Citation 2

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7.

Option Pricing Based on the Generalized Lambda Distribution

Number of pages: 29 Posted: 04 Feb 2001
Charles J. Corrado
Deakin University - School of Accounting, Economics & Finance
Downloads 555 (54,867)
Citation 2

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Option pricing, Monte Carlo simulations, Generalized lambda

8.

The Exact Distribution of the Maximum, Minimum and the Range of Multinomial/Dirichlet and Multivariate Hypergeometric Frequencies

Number of pages: 28 Posted: 29 May 2007 Last Revised: 20 Aug 2010
Charles J. Corrado
Deakin University - School of Accounting, Economics & Finance
Downloads 456 (70,120)

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Dirichlet multinomial, Multinomial maximum minimum range, Multinomial outliers and inliers, September effect, Stochastic matrix

9.

Conducting Event Studies With Asia-Pacific Security Market Data

Number of pages: 42 Posted: 07 Dec 2005
Charles J. Corrado and Cameron Truong
Deakin University - School of Accounting, Economics & Finance and Monash University
Downloads 448 (71,655)
Citation 6

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Asia-Pacific stock markets, event study methods, Monte Carlo simulations

10.

Tweaking Black-Scholes

Number of pages: 30 Posted: 22 Jan 2009 Last Revised: 04 Mar 2009
Do-Sub Jung and Charles J. Corrado
affiliation not provided to SSRN and Deakin University - School of Accounting, Economics & Finance
Downloads 261 (131,216)

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options, hedging, Black-Scholes

11.

Geared Equity Investments: Tax Arbitrage Down Under

Number of pages: 17 Posted: 27 Feb 2002
Charles J. Corrado and Joe Cheung
Deakin University - School of Accounting, Economics & Finance and University of Auckland - Department of Accounting and Finance
Downloads 254 (134,900)

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Option valuation, Tax shield, Geared equity investments

12.

How Long Should Bank CEOs Continue?: Evidence from Nigeria

Number of pages: 137 Posted: 09 Dec 2011
Toni Aburime, Gerard L. Gannon and Charles J. Corrado
Deakin University, Deakin University - School of Accounting, Economics and Finance and Deakin University - School of Accounting, Economics & Finance
Downloads 95 (304,620)

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Bank, Corporate Governance, CEO Tenure, Efficiency, Nigeria

13.

An Implicit Martingale Restriction in a Closed-Form Higher Order Moments Option Pricing Formula Based on Multipoint Padé Approximants

Downloads 54 (415,901)
Citation 1

An Implicit Martingale Restriction in a Closed-Form Higher Order Moments Option Pricing Formula Based on Multipoint Padé Approximants

Number of pages: 20 Posted: 04 Mar 2007
Guillaume Bagnarosa, Charles J. Corrado, Emmanuel Jurczenko and Bertrand B. Maillet
ESC Rennes School of Business, Deakin University - School of Accounting, Economics & Finance, Glion Institute of Higher Education and EMLyon Business School (Paris Campus)
Downloads 34 (509,584)
Citation 1

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Option Pricing Models, Martingale Restriction, Padé Approximants.

An Implicit Martingale Restriction in a Closed-Form Higher Order Moments Option Pricing Formula Based on Multipoint Padé Approximants

Number of pages: 20 Posted: 22 May 2018
Guillaume Bagnarosa, Charles J. Corrado, Emmanuel Jurczenko and Bertrand B. Maillet
ESC Rennes School of Business, Deakin University - School of Accounting, Economics & Finance, Glion Institute of Higher Education and EMLyon Business School (Paris Campus)
Downloads 20 (597,633)

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Option Pricing Models, Martingale Restriction, Padé Approximants

14.

The Hidden Martingale Restriction in Gram-Charlier Option Prices

Journal of Futures Markets, Forthcoming
Posted: 11 Aug 2006
Charles J. Corrado
Deakin University - School of Accounting, Economics & Finance

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Option prices, martingale restriction, skewness, kurtosis, Gram-Charlier density expansions