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A transactions data analysis of arbitrage between index options and index futures

✍ Scribed by Jae Ha Lee; Nandkumar Nayar

Publisher
John Wiley and Sons
Year
1993
Tongue
English
Weight
743 KB
Volume
13
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

✦ Synopsis

We are grateful to Louis Ederington, Scott Linn, and Lee Willinger for helpful discussions. This article was presented at the 1992 F.M.A. meetings and we thank Gary Gastineau and Tom Miller for their comments. The Center for Financial Studies at the University of Oklahoma provided financial support to acquire data used in this study.

'The SPX option contract is not the most heavily traded stock index option contract. The OEX option contract, based on the S&P 100 Index, trades more heavily.

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