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DAX-Future-Arbitrage : eine kritische Analyse

Janßen, Birgit - 1995

Persistent link: https://www.econbiz.de/10000918990

Settlement, tax and non-synchronous effects in the basis of UK stock index futures

Theobald, Michael; Yallup, Peter - 1996

Persistent link: https://www.econbiz.de/10000944066

Direct tests of index arbitrage models

Neal, Robert S. - 1995

Persistent link: https://www.econbiz.de/10000909862

Program trading and stock index arbitrage

Canina, Linda - In: Finance, (pp. 315-339). 1995

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Lower-boundary violations and market efficiency : evidence from the German DAX-index options market

Mittnik, Stefan; Rieken, Sascha - 1999

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Cointegration of South African index futures contracts and their underlying spot market indices

Ferret, A.; Page, Michael J. - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 22 (1998) 1, pp. 69-90

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Early unwindings and rollovers of stock index futures arbitrage programs : analysis and implications for predicting expiration day effects

Merrick, John J. - In: The journal of futures markets 9 (1989) 2, pp. 101-111

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Index arbitrage as cross-sectional market making

Holden, Craig W. - In: The journal of futures markets 15 (1995) 4, pp. 423-455

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Intraday leads and lags with index-futures arbitrage

Martens, Martin; Kofman, Paul - 1995

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Risk Arbitrage Opportunities for Stock Index Options

Post, Thierry - 2019

developed which completely characterizes all risk arbitrage opportunities which arise if a well-behaved pricing kernel does not … exist. The Stochastic Arbitrage system can account for market imperfections in the form of transactions costs and general … portfolio restrictions. An active trading strategy based on the Stochastic Arbitrage system for front-month S&P500 stock index …

Persistent link: https://www.econbiz.de/10012899380