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On the arbitrage‐free pricing relationship between index futures and index options: A note

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  • Joseph K. W. Fung
  • Kam C. Chan

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  • Joseph K. W. Fung & Kam C. Chan, 1994. "On the arbitrage‐free pricing relationship between index futures and index options: A note," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 14(8), pages 957-962, December.
    • Handle: RePEc:wly:jfutmk:v:14:y:1994:i:8:p:957-962
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    Cited by:

    1. Marianna Brunetti & Roberta De Luca, 2021. "Pairs Trading In The Index Options Market," CEIS Research Paper 512, Tor Vergata University, CEIS, revised 02 Sep 2021.
    2. Chin‐Ho Chen & Junmao Chiu & Huimin Chung, 2020. "Arbitrage opportunities, liquidity provision, and trader types in an index option market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 279-307, March.
    3. Ren, Fei & Ji, Shen-Dan & Cai, Mei-Ling & Li, Sai-Ping & Jiang, Xiong-Fei, 2019. "Dynamic lead–lag relationship between stock indices and their derivatives: A comparative study between Chinese mainland, Hong Kong and US stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 709-723.

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