Why derivatives on derivatives? The case of spread futures
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Financial Intermediation.
Volume (Year): 15 (2006)
Issue (Month): 1 (January)
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Web page: http://www.elsevier.com/locate/inca/622875
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- Subrahmanyam, Avanidhar, 1991. "A Theory of Trading in Stock Index Futures," Review of Financial Studies, Society for Financial Studies, vol. 4(1), pages 17-51.
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- Sandor, Richard L, 1973. "Innovation by an Exchange: A Case Study of the Development of the Plywood Futures Contract," Journal of Law and Economics, University of Chicago Press, vol. 16(1), pages 119-36, April.
- Longstaff, Francis A, 1995. "Option Pricing and the Martingale Restriction," Review of Financial Studies, Society for Financial Studies, vol. 8(4), pages 1091-1124.
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- Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 2000. "Do Call Prices and the Underlying Stock Always Move in the Same Direction?," Review of Financial Studies, Society for Financial Studies, vol. 13(3), pages 549-84.
- Johnston, Elizabeth Tashjian & McConnell, John J, 1989. "Requiem for a Market: An Analysis of the Rise and Fall of a Financial Futures Contract," Review of Financial Studies, Society for Financial Studies, vol. 2(1), pages 1-23.
- Back, Kerry, 1993. "Asymmetric Information and Options," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 435-72.
- John B. Mitchell, 2010. "Soybean Futures Crush Spread Arbitrage: Trading Strategies and Market Efficiency," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 3(1), pages 63-96, December.
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