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The Pricing of Futures and Options Contracts on the Value Line Index

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  • Eytan, T Hanan
  • Harpaz, Giora

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  • Eytan, T Hanan & Harpaz, Giora, 1986. "The Pricing of Futures and Options Contracts on the Value Line Index," Journal of Finance, American Finance Association, vol. 41(4), pages 843-855, September.
    • Handle: RePEc:bla:jfinan:v:41:y:1986:i:4:p:843-55
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    Cited by:

    1. Arie Harel & Giora Harpaz & Jack Francis, 2007. "Pricing futures on geometric indexes: A discrete time approach," Review of Quantitative Finance and Accounting, Springer, vol. 28(3), pages 227-240, April.
    2. Salmon, Mark & Schleicher, Christoph & Hurd, Matthew, 2005. "Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index," CEPR Discussion Papers 5114, C.E.P.R. Discussion Papers.
    3. Bhardwaj, Geetesh & Janardanan, Rajkumar & Rouwenhorst, K. Geert, 2021. "The first commodity futures index of 1933," Journal of Commodity Markets, Elsevier, vol. 23(C).
    4. Vivek Bhargava & John M. Clark, 2003. "Pricing U.S. Dollar Index Futures Options: An Empirical Investigation," The Financial Review, Eastern Finance Association, vol. 38(4), pages 571-590, November.
    5. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    6. Juan Rendon & William Ziemba, 2007. "Is the January effect still alive in the futures markets?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 21(3), pages 381-396, September.

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