Asymmetric mispricing and regime-dependent dynamics in index futures and options markets
Year of publication: |
March 2016
|
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Authors: | Lee, Jaeram ; Ryu, Doojin |
Published in: |
Asian economic journal : journal of the East Asian Economic Association. - Richmond, Vic. : Wiley-Blackwell, ISSN 1351-3958, ZDB-ID 1134817-3. - Vol. 30.2016, 1, p. 47-65
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Subject: | KOSPI200 futures and options | limited dependent variable model | mispricing | threshold vector error-correction model | transaction costs | Index-Futures | Index futures | Transaktionskosten | Transaction costs | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Schätztheorie | Estimation theory | Börsenkurs | Share price |
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