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The impact of equity option expirations on the prices of non-expiring options. (1995). Smith, David ; Broughton, John B. ; Chance, Don M..
In: Review of Financial Economics.
RePEc:eee:revfin:v:4:y:1995:i:2:p:109-123.

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  9. Rubinstein, M. Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 through August 31, 1978. 1985 Journal of Finance. 40 455-480

  10. Vijh, A. Liquidity of the CBOE Equity Options. 1990 Journal of Finance. 45 1157-1179

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  13. White, H. A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity. 1980 Econometrica. 48 817-838

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