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Tests of the Put-Call Parity Relation Using Options on Futures on the S&P 500 Index
Garay, Urbi - 2011
This paper investigates the put-call parity (PCP) relation using options on futures on the Standard and Poor's 500 (S&P 500) Index using daily closing options and futures prices between 2nd January and 31st December, 2001. Results obtained demonstrate that the inclusion of transaction costs in...
Persistent link: https://www.econbiz.de/10013131049
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Variance bounds test of volatility expectations in eurodollar futures options markets
Kim, Kwanho; Poonvoralak, Wantanee - In: Global business and finance review 24 (2019) 2, pp. 20-32
Persistent link: https://www.econbiz.de/10012121276
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An empirical test of market efficiency of Indian index options market using the Black-Scholes model and dynamic hedging strategy
Mohanti, Debaditya; Priyan, P. K. - In: Paradigm : the journal of Institute of Management Technology 18 (2014) 2, pp. 221-237
Persistent link: https://www.econbiz.de/10011760603
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Role of OTC options in stock price efficiency : evidence from the Chinese market
Zhou, Yaping; Diao, Xundi; Lv, Dayong - In: Accounting and finance 63 (2023) 4, pp. 4629-4655
Persistent link: https://www.econbiz.de/10014477159
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The intraday determination of liquidity in the NYSE LIFFE equity option markets
Verousis, Thanos; Ap Gwilym, Owain; Chen, XiaoHua - In: The European journal of finance 22 (2016) 10/12, pp. 1164-1188
Persistent link: https://www.econbiz.de/10011715335
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Insiderhandel und Optionspreisspannen
Behr, Matina L. - 2000 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001516335
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Expected option returns
Coval, Joshua; Shumway, Tyler - In: The journal of finance : the journal of the American … 56 (2001) 3, pp. 983-1009
Persistent link: https://www.econbiz.de/10001593017
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Financial markets performance : theory and empirical evidence
Marquardt, Dirk Steffen - 1998
Persistent link: https://www.econbiz.de/10000671527
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Cocoa market efficiency : a cointegration approach
Mananyi, Anthony - In: Journal of economic studies 24 (1997) 3, pp. 141-151
Persistent link: https://www.econbiz.de/10001222678
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Violations of put-call parity for CNX nifty index options : a study at national stock exchange
Nandan, Tanuj; Agrawal, Puja - In: Global review of business and economic research 10 (2014) 2, pp. 135-152
Persistent link: https://www.econbiz.de/10011343197