Index Options: The Early Evidence
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 40 (1985)
Issue (Month): 3 (July)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Ayla Ogus, 2002.
"Pricing of S&P 100 Index Options Based On Garch Volatility Estimates,"
0201, Izmir University of Economics.
- Ayla Ogus, 2005. "Pricing Of S&P 100 Index Options Based On Garch Volatility Estimates," Finance 0504005, EconWPA.
- Hoque, Ariful & Chan, Felix & Manzur, Meher, 2008. "Efficiency of the foreign currency options market," Global Finance Journal, Elsevier, vol. 19(2), pages 157-170.
- Steven Li, 2006. "The Arbitrage Efficiency of the Nikkei 225 Options Market: A Put-Call Parity Analysis," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 24(2), pages 33-54, November.
- Brunetti, Marianna & Torricelli, Costanza, 2005. "Put-call parity and cross-markets efficiency in the index options markets: evidence from the Italian market," International Review of Financial Analysis, Elsevier, vol. 14(5), pages 508-532.
- Muzzioli, S. & Torricelli, C., 2005. "The pricing of options on an interval binomial tree. An application to the DAX-index option market," European Journal of Operational Research, Elsevier, vol. 163(1), pages 192-200, May.
- Ardia, David, 2002.
"Tests d'arbitrage et surfaces de volatilité : analyse empirique sur données haute fréquence
[Arbitrage tests and surface of implied volatility: An empirical analysis of high frequency data]," MPRA Paper 17415, University Library of Munich, Germany.
- Roon, F.A. de & Veld, C.H. & Wei, J., 1996.
"A Study on the Efficiency of the Market for Dutch Long Term Call Options,"
1996-33, Tilburg University, Center for Economic Research.
- F. De Roon & C. Veld & J. Wei, 1998. "A study on the efficiency of the market for Dutch long-term call options," European Journal of Finance, Taylor and Francis Journals, vol. 4(2), pages 93-111.
- Lucy F. Ackert & Yisong S. Tian, 1999.
"Efficiency in index options markets and trading in stock baskets,"
99-5, Federal Reserve Bank of Atlanta.
- Ackert, Lucy F. & Tian, Yisong S., 2001. "Efficiency in index options markets and trading in stock baskets," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1607-1634, September.
- Riva, Fabrice & Deville, Laurent, 2006. "The Determinants of the Time to Efficiency in Options Markets : A Survival Analysis Approach," Economics Papers from University Paris Dauphine 123456789/2397, Paris Dauphine University.
- Engstrom, Malin & Norden, Lars, 2000. "The early exercise premium in American put option prices," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 461-479, December.
- repec:ner:dauphi:urn:hdl:123456789/2200 is not listed on IDEAS
- Laurent Deville & Fabrice Riva, 2007.
"Liquidity and Arbitrage in Options Markets: A SurvivalAnalysis Approach,"
- Laurent Deville & Fabrice Riva, 2007. "Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach," Review of Finance, European Finance Association, vol. 11(3), pages 497-525.
- En-Der Su & Feng-Jeng Lin, 2012. "Two-State Volatility Transition Pricing and Hedging of TXO Options," Computational Economics, Society for Computational Economics, vol. 39(3), pages 259-287, March.
- Deville, Laurent & Riva, Fabrice, 2004. "The Determinants of the Time to Efficiency in Options Markets: A Survival Analysis Approach," Economics Papers from University Paris Dauphine 123456789/2200, Paris Dauphine University.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.