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Why derivatives on derivatives? The case of spread futures

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  • Cuny, Charles J.

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  • Cuny, Charles J., 2006. "Why derivatives on derivatives? The case of spread futures," Journal of Financial Intermediation, Elsevier, vol. 15(1), pages 132-159, January.
  • Handle: RePEc:eee:jfinin:v:15:y:2006:i:1:p:132-159
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    References listed on IDEAS

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    1. 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 549-584.
    2. Longstaff, Francis A, 1995. "Option Pricing and the Martingale Restriction," Review of Financial Studies, Society for Financial Studies, vol. 8(4), pages 1091-1124.
    3. Duffie Darrell & Rahi Rohit, 1995. "Financial Market Innovation and Security Design: An Introduction," Journal of Economic Theory, Elsevier, vol. 65(1), pages 1-42, February.
    4. 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.
    5. Back, Kerry, 1993. "Asymmetric Information and Options," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 435-472.
    6. Conrad, Jennifer, 1989. " The Price Effect of Option Introduction," Journal of Finance, American Finance Association, vol. 44(2), pages 487-498, June.
    7. Detemple, Jerome & Jorion, Philippe, 1990. "Option listing and stock returns : An empirical analysis," Journal of Banking & Finance, Elsevier, vol. 14(4), pages 781-801, October.
    8. 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 119-136, April.
    9. 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.
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    Cited by:

    1. 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 1-34, December.

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