Bollen, Nicolas P. B.; Smith, Tom; Whaley, Robert E. - In: Journal of Futures Markets 23 (2003) 8, pp. 719-750
In designing a derivative contract, an exchange carefully considers how its attributes affect the expected profits of its members. On November 3, 1997, the Chicago Mercantile Exchange doubled its tick size of its S&P 500 futures contract and halved the denomination, providing a rare opportunity...
