Put-call parity and cross-markets efficiency in the index options markets: evidence from the Italian market
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Bibliographic InfoArticle provided by Elsevier in its journal International Review of Financial Analysis.
Volume (Year): 14 (2005)
Issue (Month): 5 ()
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Web page: http://www.elsevier.com/locate/inca/620166
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Evnine, Jeremy & Rudd, Andrew, 1985. " Index Options: The Early Evidence," Journal of Finance, American Finance Association, American Finance Association, vol. 40(3), pages 743-56, July.
- Stoll, Hans R, 1969. "The Relationship between Put and Call Option Prices," Journal of Finance, American Finance Association, American Finance Association, vol. 24(5), pages 801-24, December.
- Lucy F. Ackert & Yisong S. Tian, 1999.
"Efficiency in index options markets and trading in stock baskets,"
Working Paper, Federal Reserve Bank of Atlanta
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, Elsevier, vol. 25(9), pages 1607-1634, September.
- Phillips, Susan M. & Smith, Clifford Jr., 1980. "Trading costs for listed options : The implications for market efficiency," Journal of Financial Economics, Elsevier, Elsevier, vol. 8(2), pages 179-201, June.
- Bhattacharya, Mihir, 1983. "Transactions data tests of efficiency of the Chicago board options exchange," Journal of Financial Economics, Elsevier, Elsevier, vol. 12(2), pages 161-185, August.
- Merton, Robert C, 1973. "The Relationship Between Put and Call Option Prices: Comment," Journal of Finance, American Finance Association, American Finance Association, vol. 28(1), pages 183-84, March.
- Gould, J. P. & Galai, D., 1974. "Transactions costs and the relationship between put and call prices," Journal of Financial Economics, Elsevier, Elsevier, vol. 1(2), pages 105-129, July.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
- Moriggia, V. & Muzzioli, S. & Torricelli, C., 2009. "On the no-arbitrage condition in option implied trees," European Journal of Operational Research, Elsevier, Elsevier, vol. 193(1), pages 212-221, February.
- M. Brunetti & C. Torricelli, 2007. "The internal and cross market efficiency in index option markets: an investigation of the Italian market," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 17(1), pages 25-33.
- Ardia, David, 2007. "Tests dâ€™arbitrage sur options: une analyse empirique des cotations de market-makers," DQE Working Papers, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland 8, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland.
- Krishnamurti, Chandrasekhar & Hoque, Ariful, 2011. "Efficiency of European emissions markets: Lessons and implications," Energy Policy, Elsevier, vol. 39(10), pages 6575-6582, October.
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