✦ LIBER ✦

Further evidence on parity relationships in options on S&P 500 index futures

✍ Scribed by Patrick H. Marchand; James T. Lindley; Richard A. Followill

Book ID: 102842844
Publisher: John Wiley and Sons
Year: 1994
Tongue: English
Weight: 788 KB
Volume: 14
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990140607

No coin nor oath required. For personal study only.

✦ Synopsis

and at the higher exercise price (&), respectively The combined vertical strategies in each box-spread position are constructed using only two exercise prices, collectively 'See Ronn and Ronn (1989) for a comprehensive analysis of the box-spread arbitrage conditions.

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