Non-simultaneity and Apparent Option Mispricing in Tests of Put-Call Parity
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DOI: 10.1177/031289629401900103
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References listed on IDEAS
- Bookstaber, Richard M, 1981. "Observed Option Mispricing and the Nonsimultaneity of Stock and Option Quotations," The Journal of Business, University of Chicago Press, vol. 54(1), pages 141-155, January.
- Jensen, Michael C. & Ruback, Richard S., 1983. "The market for corporate control : The scientific evidence," Journal of Financial Economics, Elsevier, vol. 11(1-4), pages 5-50, April.
- repec:bla:jfinan:v:43:y:1988:i:4:p:1049-55 is not listed on IDEAS
- Jarrell, Gregg A & Brickley, James A & Netter, Jeffry M, 1988. "The Market for Corporate Control: The Empirical Evidence Since 1980," Journal of Economic Perspectives, American Economic Association, vol. 2(1), pages 49-68, Winter.
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Cited by:
- Robert E.J. Hibbard & Rob Brown & Keith R. McLaren, 2002. "Nonsimultaneity and Futures Option Pricing: Simulation and Empirical Evidence," Monash Econometrics and Business Statistics Working Papers 13/02, Monash University, Department of Econometrics and Business Statistics.
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Keywords
OPTION PRICING; NON-SIMULTANEITY; ARBITRAGE OPPORTUNITIES;All these keywords.
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