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| Tekijä: | Ackert, L. F. Tian, Y. S. |
| Otsikko: | Efficiency in index options markets and trading in stock baskets |
| Lehti: | Journal of Banking and Finance
2001 : SEP, VOL. 25:9, p. 1607-1634 |
| Asiasana: | INDEXATION OPTIONS PRICING TRADING |
| Kieli: | eng |
| Tiivistelmä: | 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. |
SCIMA