search query: @author Tian, Y. S. / total: 1
reference: 1 / 1
« previous | next »
Author: | Ackert, L. F. Tian, Y. S. |
Title: | Efficiency in index options markets and trading in stock baskets |
Journal: | Journal of Banking and Finance
2001 : SEP, VOL. 25:9, p. 1607-1634 |
Index terms: | INDEXATION OPTIONS PRICING TRADING |
Language: | eng |
Abstract: | Researchers have reported mispricing in index options markets. This study further examines the efficiency of the S&P 500 index options market by testing theoretical pricing relationships implied by no-arbitage conditions. The effect of a traded stock basket, Standard and Poor's Depository Receipts (SPDRs), on the link between index and options markets is also examined. |
« previous | next »
SCIMA