Tests d’arbitrage sur options: une analyse empirique des cotations de market-makers
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References listed on IDEAS
- Ackert, Lucy F. & Tian, Yisong S., 2001.
"Efficiency in index options markets and trading in stock baskets,"
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Elsevier, vol. 25(9), pages 1607-1634, September.
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- Kamara, Avraham & Miller, Thomas W., 1995. "Daily and Intradaily Tests of European Put-Call Parity," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(04), pages 519-539, December.
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More about this item
KeywordsOptions sur indice; tests d’arbitrage; borne inférieure; parité put-call;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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