Evidence of the Efficiency of Index Options Markets
نویسندگان
چکیده
منابع مشابه
Efficiency in Index Options Markets and Trading in Stock Baskets
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-arbitrage 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. Pricing efficiency withi...
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