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| Author: | Cavallo, L. Mammola, P. |
| Title: | Empirical tests of efficiency of the Italian index options market |
| Journal: | Journal of Empirical Finance
2000 : AUG, VOL. 7:2, p. 173-194 |
| Index terms: | VOLATILITY TRANSACTION COSTS ITALY |
| Language: | eng |
| Abstract: | The purpose of this paper is to investigate whether the Italian index option contract recently introduced in the Italian Derivatives Market (IDEM), is efficient. Two different methods are used in the analysis. First, the authors tested on the Italian index option market the validity of the put-call parity conditions, extended to account of transaction costs associated with replicating and establishing a short-hedge on the index. |
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