Trading volatility spreads : a test of index option market efficiency
Year of publication: |
2000
|
---|---|
Authors: | Poon, Ser-Huang ; Pope, Peter F. |
Published in: |
European financial management : the journal of the European Financial Management Association. - Oxford : Wiley-Blackwell, ISSN 1354-7798, ZDB-ID 1235378-4. - Vol. 6.2000, 2, p. 235-260
|
Subject: | Index-Futures | Index futures | Effizienzmarkthypothese | Efficient market hypothesis | Volatilität | Volatility | Schätzung | Estimation | Theorie | Theory |
-
Three essays on the econometrics of options markets
Lazarov, Zdravetz N., (2004)
-
Violations of put-call parity for CNX nifty index options : a study at national stock exchange
Nandan, Tanuj, (2014)
-
Implied volatility smirk and future stock returns : evidence from the German market
Mo, Di, (2015)
- More ...
-
Tests of option market efficiency : a high frequency data and common volatility component approach
Poon, Ser-Huang, (1999)
-
Trading Volatility Spreads : A Test of Index Option Market Efficiency
Pope, Peter F., (1999)
-
Trading Volatility Spreads: A Test of Index Option Market Efficiency
Poon, Ser-Huang, (2000)
- More ...