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Is Petrobras Options Market Efficient? A Study Using The Delta-Gamma Neutral Strategy

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  • GUSTAVO SILVA ARAUJO
  • RICARDO ALVES CARMO RIBEIRO

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  • Gustavo Silva Araujo & Ricardo Alves Carmo Ribeiro, 2018. "Is Petrobras Options Market Efficient? A Study Using The Delta-Gamma Neutral Strategy," Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting] 126, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    • Handle: RePEc:anp:en2016:126
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    References listed on IDEAS

    as
    1. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    2. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
    3. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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