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Empirical Investigation of the Canadian Government Bond Options Market

✍ Scribed by Louis Gagnon


Book ID
114945186
Publisher
Wiley (John Wiley & Sons)
Year
2009
Tongue
English
Weight
819 KB
Volume
11
Category
Article
ISSN
0825-0383

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Empirical tests of the efficiency of the
✍ Joseph P. Ogden; Alan L. Tucker πŸ“‚ Article πŸ“… 1987 πŸ› John Wiley and Sons 🌐 English βš– 425 KB πŸ‘ 1 views

his study investigates empirically the efficiency of the currency futures T options market, Synchronous transactions data are used to test six arbitrage pricing conditions applicable to American futures options. Results support market efficiency for the period studied; few violations of these condit