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Early unwinding of options-futures arbitrage with bid/ask quotations and transaction prices

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  • Fung, Joseph K. W.
  • Mok, Henry M. K.

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  • Fung, Joseph K. W. & Mok, Henry M. K., 2003. "Early unwinding of options-futures arbitrage with bid/ask quotations and transaction prices," Global Finance Journal, Elsevier, vol. 14(2), pages 121-133, July.
    • Handle: RePEc:eee:glofin:v:14:y:2003:i:2:p:121-133
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    References listed on IDEAS

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    1. Harris, Lawrence & Sofianos, George & Shapiro, James E, 1994. "Program Trading and Intraday Volatility," The Review of Financial Studies, Society for Financial Studies, vol. 7(4), pages 653-685.
    2. 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.
    3. Hemler, Michael L. & Miller, Thomas W., 1997. "Box Spread Arbitrage Profits following the 1987 Market Crash: Real or Illusory?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(1), pages 71-90, March.
    4. Cheng, Louis T W & Fung, Joseph K W & Pang, Castor, 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, Winter.
    5. Fung, Joseph K W & Mok, Henry M K, 2001. "Index Options-Futures Arbitrage: A Comparative Study with Bid/Ask and Transaction Data," The Financial Review, Eastern Finance Association, vol. 36(1), pages 71-94, February.
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    Cited by:

    1. Zhihua Zhang & Rose Neng Lai, 2006. "Pricing efficiency and arbitrage: Hong Kong derivatives markets revisited," Applied Financial Economics, Taylor & Francis Journals, vol. 16(16), pages 1185-1198.

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