Buraschi, Andrea (contributor); … - 1999 - [Elektronische Ressource]
¤AndreaBuraschiisfromLondonBusinessSchool,SussexPlace,Regent'sPark,LondonNW1
4SA, UnitedKingdom. Tel: +44-20-7262-5050, fax: +44-20-7724-3317, aburaschi@lbs.ac.uk … UK, German, and Japanese index option markets by Gemmill and Kamiyama
(1997). In the post-crash period, S&P500 options … weights ci of the basis fbig :
P ´ fp 2 L2 : p =
X
i
bi ¢ ci; for some ci in the information set Ig (1)
The ci need not be …