Liquidity and arbitrage in options markets: A survival analysis approach
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Other versions of this item:
- Laurent Deville & Fabrice Riva, 2007. "Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach," Review of Finance, European Finance Association, vol. 11(3), pages 497-525.
- Laurent Deville & Fabrice Riva, 2007. "Liquidity and Arbitrage in Options Markets: A SurvivalAnalysis Approach," Post-Print halshs-00162221, HAL.
References listed on IDEAS
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- Gianluca Cassese & Massimo Guidolin, 2004. "Pricing and Informational Efficiency of the MIB30 Index Options Market. An Analysis with High-frequency Data," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 33(2), pages 275-321, July.
- Abreu, Dilip & Brunnermeier, Markus K., 2002. "Synchronization risk and delayed arbitrage," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 341-360.
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- Ofek, Eli & Richardson, Matthew & Whitelaw, Robert F., 2004. "Limited arbitrage and short sales restrictions: evidence from the options markets," Journal of Financial Economics, Elsevier, vol. 74(2), pages 305-342, November.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Efstathios Panayi & Gareth Peters, 2014. "Survival Models for the Duration of Bid-Ask Spread Deviations," Papers 1406.5487, arXiv.org.
- François-Heude, Alain & Yousfi, Ouidad, 2013. "On the liquidity of CAC 40 index options Market," MPRA Paper 47921, University Library of Munich, Germany, revised 01 Jul 2013.
- F. Riva & A. Calamia & L. Deville, 2013.
"Liquidity in European equity ETFs: What really matters?,"
- Laurent Deville & A. Calamia & Fabrice Riva, 2013. "Liquidity in European Equity ETFs: What Really Matters?," Post-Print halshs-00861646, HAL.
- Anna Calamia & Laurent Deville & Fabrice Riva, 2013. "Liquidity in European Equity ETFs: What Really Matters?," GREDEG Working Papers 2013-10, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), University of Nice Sophia Antipolis.
- Palani-Rajan Kadapakkam & Umesh Kumar, 2009. "Impact of Liquidity on the Futures–Cash Basis: Evidence from the Indian Market," Working Papers 0094, College of Business, University of Texas at San Antonio.
- Thierry Foucault & Roman Kozhan & Wing Wah Tham, 2017. "Toxic Arbitrage," Review of Financial Studies, Society for Financial Studies, vol. 30(4), pages 1053-1094.
- Alain François-Heude & Ouidad Yous, 2014. "On the liquidity of CAC 40 index options Market," Working Papers 2014-445, Department of Research, Ipag Business School.
- repec:taf:quantf:v:17:y:2017:i:11:p:1661-1681 is not listed on IDEAS
- repec:bla:eufman:v:24:y:2018:i:5:p:856-892 is not listed on IDEAS
- Lee, Jaeram & Kang, Jangkoo & Ryu, Doojin, 2015. "Common deviation and regime-dependent dynamics in the index derivatives markets," Pacific-Basin Finance Journal, Elsevier, vol. 33(C), pages 1-22.
- repec:eee:intfin:v:53:y:2018:i:c:p:117-138 is not listed on IDEAS
More about this item
Keywordssurvival analysis; ETF; put-call parity; Liquidity; arbitrage; transaction costs;
- D49 - Microeconomics - - Market Structure, Pricing, and Design - - - Other
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