We investigate the efficiency of the market for 5 year call options which are traded on the European Options Exchange in Amsterdam.We study both delta, delta-vega, and delta-gamma neutral arbitrage portfolios.We do not detect any serious inefficiencies in the market for long term call...

One-period expected returns on futures contracts with di erent maturities di er because of risk premia in the spreads between futures and spot prices.We analyze the expected returns for futures contracts with di erent maturities using the information that is present in the current term structure...