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Index Options: The Early Evidence

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  • Evnine, Jeremy
  • Rudd, Andrew
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    Article provided by American Finance Association in its journal Journal of Finance.

    Volume (Year): 40 (1985)
    Issue (Month): 3 (July)
    Pages: 743-56

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    Handle: RePEc:bla:jfinan:v:40:y:1985:i:3:p:743-56

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    Cited by:
    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. Laurent Deville & Fabrice Riva, 2007. "Liquidity and Arbitrage in Options Markets: A SurvivalAnalysis Approach," Post-Print halshs-00162221, HAL.
    6. 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.
    7. Roon, F.A. de & Veld, C.H. & Wei, J., 1996. "A Study on the Efficiency of the Market for Dutch Long Term Call Options," Discussion Paper 1996-33, Tilburg University, Center for Economic Research.
    8. 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.
    9. 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.
    10. Lucy F. Ackert & Yisong S. Tian, 1999. "Efficiency in index options markets and trading in stock baskets," Working Paper 99-5, Federal Reserve Bank of Atlanta.
    11. Hoque, Ariful & Chan, Felix & Manzur, Meher, 2008. "Efficiency of the foreign currency options market," Global Finance Journal, Elsevier, vol. 19(2), pages 157-170.
    12. Ayla Ogus, 2002. "Pricing of S&P 100 Index Options Based On Garch Volatility Estimates," Working Papers 0201, Izmir University of Economics.

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