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An analysis of index option pricing

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  • John S. Cotner
  • James F. Horrell

Abstract

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  • John S. Cotner & James F. Horrell, 1989. "An analysis of index option pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 9(5), pages 449-459, October.
  • Handle: RePEc:wly:jfutmk:v:9:y:1989:i:5:p:449-459
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    Cited by:

    1. Tanuj Nandan & Puja Agrawal, 2016. "Pricing Efficiency in CNX Nifty Index Options Using the Black–Scholes Model: A Comparative Study of Alternate Volatility Measures," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 10(2), pages 281-304, May.
    2. 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.

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