IDEAS home Printed from https://ideas.repec.org/r/bla/jfinan/v40y1985i3p743-56.html
   My bibliography  Save this item

Index Options: The Early Evidence

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Panayiotis Andreou & Yiannos Pierides, 2008. "Empirical investigation of stock index futures market efficiency: the case of the Athens Derivatives Exchange," The European Journal of Finance, Taylor & Francis Journals, vol. 14(3), pages 211-223.
  2. Kenneth Oliven & Thomas A. Rietz, 2004. "Suckers Are Born but Markets Are Made: Individual Rationality, Arbitrage, and Market Efficiency on an Electronic Futures Market," Management Science, INFORMS, vol. 50(3), pages 336-351, March.
  3. Mondher Bellalah, 2009. "Derivatives, Risk Management & Value," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7175, October.
  4. 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.
  5. Ackert, Lucy F. & Tian, Yisong S., 2001. "Efficiency in index options markets and trading in stock baskets," Journal of Banking & Finance, Elsevier, vol. 25(9), pages 1607-1634, September.
  6. Don M. Chance, 1988. "Boundary Condition Tests Of Bid And Ask Prices Of Index Call Options," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(1), pages 21-31, March.
  7. Ayla Ogus, 2002. "Pricing of S&P 100 Index Options Based On Garch Volatility Estimates," Working Papers 0201, Izmir University of Economics.
  8. F. De Roon & C. Veld & J. Wei, 1998. "A study on the efficiency of the market for Dutch long-term call options," The European Journal of Finance, Taylor & Francis Journals, vol. 4(2), pages 93-111.
  9. David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
  10. En-Der Su & Feng-Jeng Lin, 2012. "Two-State Volatility Transition Pricing and Hedging of TXO Options," Computational Economics, Springer;Society for Computational Economics, vol. 39(3), pages 259-287, March.
  11. Marianna Brunetti & Roberta De Luca, 2023. "Pairs trading in the index options market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(1), pages 145-173, March.
  12. Laurent Deville & Fabrice Riva, 2007. "Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach," Review of Finance, European Finance Association, vol. 11(3), pages 497-525.
  13. Yueh-Neng Lin & Shih-Kuo Yeh & Shih-Ching Chuan & Steven J. Jordan, 2008. "The link between intraday signals and call warrant mispricing," The Service Industries Journal, Taylor & Francis Journals, vol. 30(13), pages 2273-2288, November.
  14. repec:dau:papers:123456789/2397 is not listed on IDEAS
  15. Steven Li, 2006. "The Arbitrage Efficiency of the Nikkei 225 Options Market: A Put-Call Parity Analysis," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 24(2), pages 33-54, November.
  16. Muzzioli, S. & Torricelli, C., 2005. "The pricing of options on an interval binomial tree. An application to the DAX-index option market," European Journal of Operational Research, Elsevier, vol. 163(1), pages 192-200, May.
  17. Frans De Roon & Chris Veld, 1996. "An empirical investigation of the factors that determine the pricing of Dutch index warrants," European Financial Management, European Financial Management Association, vol. 2(1), pages 97-112, March.
  18. Lucy F. Ackert & Yisong S. Tian, 2000. "Evidence on the efficiency of index options markets," Economic Review, Federal Reserve Bank of Atlanta, vol. 85(Q1), pages 40-51.
  19. Brunetti, Marianna & Torricelli, Costanza, 2005. "Put-call parity and cross-markets efficiency in the index options markets: evidence from the Italian market," International Review of Financial Analysis, Elsevier, vol. 14(5), pages 508-532.
  20. M. Brunetti & C. Torricelli, 2007. "The internal and cross market efficiency in index option markets: an investigation of the Italian market," Applied Financial Economics, Taylor & Francis Journals, vol. 17(1), pages 25-33.
  21. repec:dau:papers:123456789/2200 is not listed on IDEAS
  22. Stoyu I. Ivanov & Jeff Whitworth & Yi Zhang, 2011. "The Implied Volatility Of Etf And Index Options," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 5(4), pages 35-44.
  23. Alejandro Bernales & Thanos Verousis & Nikolaos Voukelatos & Mengyu Zhang, 2020. "What do we know about individual equity options?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 67-91, January.
  24. Engstrom, Malin & Norden, Lars, 2000. "The early exercise premium in American put option prices," Journal of Multinational Financial Management, Elsevier, vol. 10(3-4), pages 461-479, December.
  25. Hoque, Ariful & Chan, Felix & Manzur, Meher, 2008. "Efficiency of the foreign currency options market," Global Finance Journal, Elsevier, vol. 19(2), pages 157-170.
  26. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  27. Ardia, David, 2002. "Tests d'arbitrage et surfaces de volatilité : analyse empirique sur données haute fréquence [Arbitrage tests and surface of implied volatility: An empirical analysis of high frequency data]," MPRA Paper 17415, University Library of Munich, Germany.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.