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Common volatility in the industrial structure of global capital markets

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Pre and post-October 1987 stock market linkages between US and Asian markets

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International stock market linkages : evidence from the pre- and post-October 1987 period

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The linkages of S & P 500 stock index and S & P 500 stock index futures prices during October 1987

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The basics of financial econometrics : tools, concepts, and asset management applications

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Futures price limit moves as options

Holder, Mark E.; Ma, Christopher K.; Mallett, James E. - In: The journal of futures markets 22 (2002) 9, pp. 901-913

Persistent link: https://www.econbiz.de/10001696743

Futures price limit moves as options

Holder, Mark E.; Ma, Christopher K.; Mallett, James E. - In: Journal of Futures Markets 22 (2002) 9, pp. 901-913

This note demonstrates that an asset's price in an environment with price limit rules can be replicated by the price of a portfolio consisting of a riskless asset and two synthetic options. A procedure is developed to unbundle the unobservable option values imbedded in the actual futures price...

Persistent link: https://www.econbiz.de/10011198197

Futures Price Limit Moves as Options

Holder, Mark E.; Ma, Christopher K.; Mallett, James E. - In: The journal of futures markets 22 (2002) 9, pp. 901

Persistent link: https://www.econbiz.de/10006826464

Spreading between the gold and silver markets : is there a parity?

Ma, Christopher K. - In: The journal of futures markets 5 (1985) 4, pp. 579-594

Persistent link: https://www.econbiz.de/10001128538