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The determinants of the time to efficiency in options markets : a survival analysis approach

Riva, Fabrice; Deville, Laurent - Université Paris-Dauphine (Paris IX) - 2006

This paper examines the determinants of the time it takes for an index options market to be brought back to efficiency after put-call parity deviations, using intraday transactions data from the French CAC 40 index options over the August 2000 - July 2001 period. We address this issue through...

Persistent link: https://www.econbiz.de/10010861470

The Determinants of the Time to Efficiency in Options Markets : A Survival Analysis Approach

Riva, Fabrice; Deville, Laurent - Université Paris-Dauphine (Paris IX) - 2005

This paper examines the determinants of the time it takes for an index options market to be brought back to efficiency after put-call parity deviations, using intraday transactions data from the French CAC 40 index options over the August 2000 - July 2001 period. We address this issue through...

Persistent link: https://www.econbiz.de/10010905215

The Determinants of the Time to Efficiency in Options Markets : A Survival Analysis Approach

Riva, Fabrice; Deville, Laurent - Université Paris-Dauphine (Paris IX) - 2005

This paper examines the determinants of the time it takes for an index options market to be brought back to efficiency after put-call parity deviations, using intraday transactions data from the French CAC 40 index options over the August 2000 - July 2001 period. We address this issue through...

Persistent link: https://www.econbiz.de/10010905392

The Determinants of the Time to Efficiency in Options Markets: A Survival Analysis Approach

Deville, Laurent; Riva, Fabrice - Université Paris-Dauphine (Paris IX) - 2004

This paper examines the determinants of the time it takes for an index options market to be brought back to efficiency after put-call parity deviations, using intraday transactions data from the French CAC 40 index options over the August 2000 - July 2001 period. We address this issue through...

Persistent link: https://www.econbiz.de/10010706471

A Survivorship Analysis of the French Index Options Market Deviations to Put Call Parity

Riva, Fabrice; Deville, Laurent - Université Paris-Dauphine (Paris IX) - 2004

This paper examines the determinants of the time it takes for an index options market to be brought back to efficiency after put-call parity deviations, using intraday transactions data from the French CAC 40 index options over the August 2000 - July 2001 period. We address this issue through...

Persistent link: https://www.econbiz.de/10010706903

The Determinants of the Time to Efficiency in Options Markets : A Survival Analysis Approach

Riva, Fabrice; Deville, Laurent - Université Paris-Dauphine (Paris IX) - 2006

This paper examines the determinants of the time it takes for an index options market to be brought back to efficiency after put-call parity deviations, using intraday transactions data from the French CAC 40 index options over the August 2000 - July 2001 period. We address this issue through...

Persistent link: https://www.econbiz.de/10010708908

The Determinants of the Time to Efficiency in Options Markets: A Survival Analysis Approach.

Deville, Laurent; Riva, Fabrice - Université Paris-Dauphine

This paper examines the determinants of the time it takes for an index options market to be brought back to efficiency after put-call parity deviations, using intraday transactions data from the French CAC 40 index options over the August 2000 - July 2001 period. We address this issue through...

Persistent link: https://www.econbiz.de/10008572196

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