Roon, F. De; Veld, C.; Wei, J. - In: The European Journal of Finance 4 (1998) 2, pp. 93-111
The efficiency of the market for 5-year call options which are traded on the European Options Exchange in Amsterdam is investigated. Both delta, delta-vega and delta-gamma neutral arbitrage portfolios are studied. No serious inefficiencies in the market for longterm call options are detected....