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Early Unwinding Strategy In Index Options-Futures Arbitrage

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  • Louis T. W. Cheng
  • Joseph K. W. Fung
  • Castor Pang

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  • Louis T. W. Cheng & Joseph K. W. Fung & Castor Pang, 1998. "Early Unwinding Strategy In Index Options-Futures Arbitrage," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(4), pages 447-467, December.
    • Handle: RePEc:bla:jfnres:v:21:y:1998:i:4:p:447-467
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1998.tb00697.x
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    References listed on IDEAS

    as
    1. Stoll, Hans R, 1969. "The Relationship between Put and Call Option Prices," Journal of Finance, American Finance Association, vol. 24(5), pages 801-824, December.
    2. Ira G. Kawaller, 1987. "A note: Debunking the myth of the risk‐free return," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 7(3), pages 327-331, June.
    3. Jae Ha Lee & Nandkumar Nayar, 1993. "A transactions data analysis of arbitrage between index options and index futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(8), pages 889-902, December.
    4. David M. Modest & Mahadevan Sundaresan, 1983. "The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 3(1), pages 15-41, March.
    5. John J. Merrick Jr., 1989. "Early unwindings and rollovers of stock index futures arbitrage programs: Analysis and implications for predicting expiration day effects," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 9(2), pages 101-111, April.
    6. Cornell, Bradford & French, Kenneth R, 1983. "Taxes and the Pricing of Stock Index Futures," Journal of Finance, American Finance Association, vol. 38(3), pages 675-694, June.
    7. Brennan, Michael J & Schwartz, Eduardo S, 1990. "Arbitrage in Stock Index Futures," The Journal of Business, University of Chicago Press, vol. 63(1), pages 7-31, January.
    8. Robert C. Klemkosky & Jae Ha Lee, 1991. "The intraday ex post and ex ante profitability of index arbitrage," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 11(3), pages 291-311, June.
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    Cited by:

    1. Louis Cheng & Jay White, 2003. "Measuring Pricing Inefficiencies Under Stressful Market Conditions," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(3‐4), pages 383-411, April.
    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.

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