✦ LIBER ✦

Extracting market views from the price of options on futures

✍ Scribed by Martinez, Gregory M.

Publisher: John Wiley and Sons
Year: 1998
Tongue: English
Weight: 711 KB
Volume: 18
Category: Article
ISSN: 0270-7314
DOI: 10.1002/(sici)1096-9934(199802)18:1<1::aid-fut1>3.0.co;2-h

No coin nor oath required. For personal study only.

✦ Synopsis

where c is the price of a European call option on the underlying futures

📜 SIMILAR VOLUMES

A note on volatility and pricing of futu

A note on volatility and pricing of futures options during choppy markets

✍ Robert I. Webb 📂 Article 📅 1987 🏛 John Wiley and Sons 🌐 English ⚖ 311 KB 👁 2 views

The intraday pricing efficiency of Hong

The intraday pricing efficiency of Hong Kong Hang Seng Index options and futures markets

✍ Fung, Joseph K. W.; Cheng, Louis T. W.; Chan, Kam C. 📂 Article 📅 1997 🏛 John Wiley and Sons 🌐 English ⚖ 195 KB 👁 2 views

A note on agricultural options and the v

A note on agricultural options and the variance of futures prices

✍ Nikolaos T. Milonas 📂 Article 📅 1986 🏛 John Wiley and Sons 🌐 English ⚖ 351 KB 👁 2 views

he recent introduction of options on agricultural futures has fueled a growing T research interest on issues ranging from risk-return characteristics of option hedging strategies to the valuation of commodity options. Valuation models for options on common stocks have been extensively used ever sinc

The impact of off-market trading on liqu

The impact of off-market trading on liquidity: Evidence from the Australian options market

✍ Andrew Lepone; Jin Young Yang 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 109 KB 👁 1 views

## Abstract This study investigates the impact of reducing the contract size threshold for off‐market trading on transaction costs in an options market. This study provides evidence that market makers compete more aggressively for small‐to‐medium trades and quote mid‐size depths more often after th

Tick sizes and relative rates of price d

Tick sizes and relative rates of price discovery in stock, futures, and options markets: Evidence from the Taiwan stock exchange

✍ Yu-Lun Chen; Yin-Feng Gau 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 163 KB 👁 2 views

## Abstract This study examines the competition in price discovery among stock index, index futures, and index options in Taiwan. The price‐discovery ability of the Taiwan Top 50 Tracker Fund, an exchange‐traded fund based on the Taiwan 50 index is examined. The authors find that, after the minimum

The time series behaviour of asset price

The time series behaviour of asset prices: evidence from UK futures markets

✍ Patricia Fraser; Andrew J. McKaig 📂 Article 📅 1998 🏛 John Wiley and Sons 🌐 English ⚖ 205 KB 👁 2 views

Using daily settlement prices for a range of real and ®nancial futures over the period 6 April 1981±31 October 1995, this paper considers the extent to which, ex post, asset prices depart from random behaviour and investigates the ef®ciency of the markets within which the prices of the assets are de