Don M. Chance

Louisiana State University, Baton Rouge - Department of Finance

2900 BEC

Baton Rouge, LA 70803

United States

Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration

James C. Flores Enowed Chair for MBA Studies

Baton Rouge, LA 70803-6308

United States

http://www.bus.lsu.edu/academics/finance/faculty/dchance/

  • Louisiana State University, Baton Rouge - Department of Finance

  • Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration

    • Email
    • Tel: 225-578-0372
    • Fax: 225-578-6366
SCHOLARLY PAPERS

30

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SSRN CITATIONS
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Top 29,991

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15

CROSSREF CITATIONS

21

Scholarly Papers (30)

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1.

Swaptions and Options

Virginia Tech Department of Finance Working Paper No. 01-5
Number of pages: 28 Posted: 29 Nov 2001
Don M. Chance
Louisiana State University, Baton Rouge - Department of Finance
Downloads 1,819 (17,478)

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swaptions, options

2.

A Synthesis of Binomial Option Pricing Models for Lognormally Distributed Assets

Downloads 1,172 (33,812)
Citation 6

A Synthesis of Binomial Option Pricing Models for Lognormally Distributed Assets

Number of pages: 47 Posted: 11 Mar 2007 Last Revised: 04 Feb 2008
Don M. Chance
Louisiana State University, Baton Rouge - Department of Finance
Downloads 883 (49,679)
Citation 17

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options, binomial model, option pricing

A Synthesis of Binomial Option Pricing Models for Lognormally Distributed Assets

Journal of Applied Finance (Formerly Financial Practice and Education), Vol. 18, No. 1, 2008
Number of pages: 19 Posted: 09 Dec 2015
Don M. Chance
Louisiana State University, Baton Rouge - Department of Finance
Downloads 289 (192,686)

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3.

FI-nance or Fi-NANCE: How 100 Experts Pronounce the Word

Number of pages: 20 Posted: 26 Jul 2018 Last Revised: 21 Sep 2018
Don M. Chance
Louisiana State University, Baton Rouge - Department of Finance
Downloads 1,018 (41,292)

Abstract:

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finance, etymology, pronunciation

4.

Expensing Executive Stock Options: Sorting Out the Issues

Number of pages: 73 Posted: 15 Sep 2004
Don M. Chance
Louisiana State University, Baton Rouge - Department of Finance
Downloads 763 (61,442)
Citation 11

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Options, stock options, accounting, FASB, executive stock options, employee stock options

5.

Private Information and the Exercise of Executive Stock Options

Number of pages: 45 Posted: 28 Sep 2005 Last Revised: 30 Oct 2007
Robert Brooks, Don M. Chance and Brandon N. Cline
Financial Risk Management LLC, Louisiana State University, Baton Rouge - Department of Finance and Mississippi State University
Downloads 592 (84,915)
Citation 7

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Executive stock options, stock options, option exercises, private information, executive compensation, insider trading, insider information

6.

A Comparison of Alternative Bivariate Normal Probability Estimation Procedures for Compound and Min-Max Options

Virginia Tech Working Paper No. 99-1
Number of pages: 25 Posted: 21 Oct 1999
Senay Agca and Don M. Chance
George Washington University - School of Business, Department of Finance and Louisiana State University, Baton Rouge - Department of Finance
Downloads 580 (87,145)

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7.

The Cross-Section of Individual Equity Option Returns

Number of pages: 114 Posted: 12 Oct 2021 Last Revised: 11 Apr 2022
Mobina Shafaati, Don M. Chance and Robert Brooks
Old Dominion University, Louisiana State University, Baton Rouge - Department of Finance and Financial Risk Management LLC
Downloads 357 (154,762)

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Individual equity options, cross-section of delta-hedged option returns, big data, shrinkage, model uncertainty, model averaging *

8.

Expected Utility Valuation of Executive Stock Options in a Binomial Framework: A Comparative Analysis

Number of pages: 44 Posted: 04 Jul 2004
Don M. Chance and Tung-Hsiao Yang
Louisiana State University, Baton Rouge - Department of Finance and National Chung Hsing University
Downloads 355 (155,705)

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Options, employee options, stock options, executive stock options

9.

Bragging Rights: Does Corporate Boasting Imply Value Creation?

Number of pages: 61 Posted: 26 Mar 2018
Pratik Kothari, Don M. Chance and Stephen P. Ferris
Oakland University - Department of Accounting and Finance, Louisiana State University, Baton Rouge - Department of Finance and University of Missouri at Columbia - Department of Finance
Downloads 278 (201,645)

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shareholder wealth, shareholder value, shareholder wealth maximization, abnormal returns, accounting performance, textual analysis, press releases, annual report

10.

The Impact of Computational Error on the Volatility Smile

Number of pages: 41 Posted: 04 Apr 2013
Don M. Chance, Thomas A. Hanson, Weiping Li and Jayaram Muthuswamy
Louisiana State University, Baton Rouge - Department of Finance, Butler University - Lacy School of Business, Civil Aviation Flight University of China and Kent State University
Downloads 263 (213,181)
Citation 2

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Black-Scholes-Merton model, option pricing, implied volatility, volatility, volatility smile, computational finance, options

11.

Pricing an Option on a Non-Decreasing Asset Value: An Application to Movie Revenue

Number of pages: 44 Posted: 18 Dec 2005
Don M. Chance, Eric T. Hillebrand and Jimmy E. Hilliard
Louisiana State University, Baton Rouge - Department of Finance, Aarhus University and Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration
Downloads 244 (229,625)
Citation 1

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option pricing, gamma process, risk management, movie revenues, non-decreasing process, Bayesian update

12.

Microsoft's Employee Option Transfer Program

Number of pages: 45 Posted: 08 Mar 2006
Don M. Chance
Louisiana State University, Baton Rouge - Department of Finance
Downloads 238 (235,319)

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employee options, compensation, incentives

13.

Covered Calls on the S&P 500: Resolution of an Anomaly

Number of pages: 45 Posted: 20 Mar 2018
Robert Brooks, Don M. Chance and Michael Lee Hemler
Financial Risk Management LLC, Louisiana State University, Baton Rouge - Department of Finance and University of Notre Dame - Department of Finance (deceased)
Downloads 222 (251,423)

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options, call options, covered call writing, performance evaluation, alpha

14.

The Valuation of Executive Stock Options when Executives Can Influence the Payoffs

Number of pages: 44 Posted: 12 Sep 2007 Last Revised: 05 Feb 2008
Tung-Hsiao Yang and Don M. Chance
National Chung Hsing University and Louisiana State University, Baton Rouge - Department of Finance
Downloads 191 (288,790)
Citation 3

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Managerial effort, stock option, expected utility model

15.

Consecutive Identical Returns and the Stanford Group Scandal

Number of pages: 10 Posted: 07 Jan 2010
Don M. Chance and Ashley Schexnaildre
Louisiana State University, Baton Rouge - Department of Finance and Louisiana State University, Baton Rouge - Department of Finance
Downloads 175 (312,001)

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stock returns, fraud, Ponzi scheme

16.

At-the-Money Stock Options, Incentives, and Shareholder Wealth

Number of pages: 45 Posted: 20 Nov 2007
Don M. Chance and Tung-Hsiao Yang
Louisiana State University, Baton Rouge - Department of Finance and National Chung Hsing University
Downloads 159 (338,922)

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executive stock options, stock options, executive compensation, incentives

17.

Taxation Without Replication

Number of pages: 29 Posted: 13 Aug 2006
Don M. Chance
Louisiana State University, Baton Rouge - Department of Finance
Downloads 155 (346,103)

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derivatives, index, replication, taxes

18.

Dividends on Unearned Shares and Corporate Payout Policy: An Analysis of Dividend Equivalent Rights

Number of pages: 53 Posted: 17 Aug 2016 Last Revised: 24 Apr 2019
Z. Tingting Jia and Don M. Chance
University of Arkansas at Little Rock and Louisiana State University, Baton Rouge - Department of Finance
Downloads 149 (357,561)

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Dividend Equivalent, Dividend Equivalent Right, Executive Compensation, Corporate Governance, Dividend Policy

19.

An Empirical Analysis of Corporate Currency Risk Management Policies and Practices

Pacific-Basin Finance Journal, Vol. 47, 2018
Number of pages: 53 Posted: 22 Mar 2019
Sungjae F. Kim and Don M. Chance
Furman University and Louisiana State University, Baton Rouge - Department of Finance
Downloads 147 (361,495)

Abstract:

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currency risk management, derivatives, hedging

20.

A Documentative Look at Contract Approvals, Launches, and Successes in U. S. Futures Markets

Number of pages: 22 Posted: 05 Feb 2008
Don M. Chance
Louisiana State University, Baton Rouge - Department of Finance
Downloads 145 (365,584)

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futures markets, futures contracts, futures exchanges, options on futures

21.

Some Subtle Relationships and Results in Option Pricing

Journal of Applied Finance (Formerly Financial Practice and Education), Vol. 24, No. 1, 2014
Number of pages: 17 Posted: 31 Oct 2015
Robert Brooks and Don M. Chance
Financial Risk Management LLC and Louisiana State University, Baton Rouge - Department of Finance
Downloads 130 (398,118)

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22.

Experimental Evidence on Portfolio Size and Diversification: Your Mileage May Vary ... A Lot

Number of pages: 43 Posted: 10 Oct 2009 Last Revised: 29 Dec 2009
Don M. Chance, Andrei Shynkevich and Tung-Hsiao Yang
Louisiana State University, Baton Rouge - Department of Finance, Kent State University and National Chung Hsing University
Downloads 128 (402,943)

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diversification, portfolio size, number of securities, experimental finance

23.

... And Forwards Begat Options: How 17th Century Financial Engineering Dealt with the Tulipmania Crisis and Created a New Financial Instrument

Number of pages: 16 Posted: 31 Aug 2023
Don M. Chance
Louisiana State University, Baton Rouge - Department of Finance
Downloads 104 (469,931)

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forward contracts, options, digital options, Tulipmania, Black-Scholes-Merton

24.

The Effect of Executive Confidence, Ability, and Private Beliefs on the Valuation of Executive Stock Options

Number of pages: 42 Posted: 14 Mar 2011
Don M. Chance and Tung-Hsiao Yang
Louisiana State University, Baton Rouge - Department of Finance and National Chung Hsing University
Downloads 92 (509,781)

Abstract:

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executive stock options, executive compensation

25.

When Actions Speak Louder than Words: Currency Management in Non-Financial Corporations

Number of pages: 56 Posted: 30 Aug 2014
Sungjae F. Kim and Don M. Chance
Furman University and Louisiana State University, Baton Rouge - Department of Finance
Downloads 84 (539,333)

Abstract:

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currency risk management, derivatives, hedging

26.

The Cross-Section of Option Returns: Deriving Inferences in Sparse Models

Number of pages: 67 Posted: 29 Jun 2023
Mobina Shafaati, Don M. Chance and Robert Brooks
Old Dominion University, Louisiana State University, Baton Rouge - Department of Finance and Financial Risk Management LLC
Downloads 41 (764,383)

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Cross-section of delta-hedged option returns, sparse models, model selection uncertainty, Bootstrap, post-selection estimation

27.

The Class Certification of Exchange-Listed Options in Securities Class-Action Litigation

Tulane Public Law Research Paper No. 24-4
Number of pages: 65 Posted: 21 Feb 2024
Don M. Chance, Onnig H. Dombalagian and Steven P. Feinstein
Louisiana State University, Baton Rouge - Department of Finance, Tulane University School of Law and Crowninshield Financial Research
Downloads 29 (857,742)

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options, fraud on the market, securities litigation, class actions, Rule 10b-5, options market.

28.

The Alpha Bias in Asset Allocation Performance Measurement

Posted: 17 Jun 2011 Last Revised: 29 Dec 2014
Don M. Chance
Louisiana State University, Baton Rouge - Department of Finance

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asset allocation, beta, market timing, performance measurement

29.

State of Wisconsin Investment Board

Posted: 17 Oct 1998
Don M. Chance
Louisiana State University, Baton Rouge - Department of Finance

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30.

The 'Repricing' of Executive Stock Options

Posted: 28 Jul 1997
Don M. Chance, Raman Kumar and Rebecca B. Todd
Louisiana State University, Baton Rouge - Department of Finance, Virginia Tech - Pamplin College of Business and affiliation not provided to SSRN

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