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Arbitrage Trading and Index Option Trading at Soffex: an Empirical Study Using Daily and Intradaily Data

Author

Listed:
  • Marc Chesney

    (GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC - HEC Paris - Ecole des Hautes Etudes Commerciales - CNRS - Centre National de la Recherche Scientifique)

  • Henri Loubergé

    (Department of Economics - UNIGE - Université de Genève = University of Geneva)

  • Rajna Gibson

Abstract

No abstract is available for this item.

Suggested Citation

  • Marc Chesney & Henri Loubergé & Rajna Gibson, 1996. "Arbitrage Trading and Index Option Trading at Soffex: an Empirical Study Using Daily and Intradaily Data," Working Papers hal-00602719, HAL.
    • Handle: RePEc:hal:wpaper:hal-00602719
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    Cited by:

    1. Hoque, Ariful & Le, Thi & Hasan, Morshadul & Abedin, Mohammad Zoynul, 2024. "Does market efficiency matter for Shanghai 50 ETF index options?," Research in International Business and Finance, Elsevier, vol. 67(PB).
    2. Debaditya Mohanti & P. K. Priyan, 2014. "An Empirical Test of Market Efficiency of Indian Index Options Market Using the Black–Scholes Model and Dynamic Hedging Strategy," Paradigm, , vol. 18(2), pages 221-237, December.
    3. Heinz Zimmermann & Claudia Zogg-Wetter, 1997. "Preisbildung am schweizerischen SMI-Futuresmarkt: Arbitrage und dynamische Preisbeziehungen," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 133(II), pages 95-132, June.

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