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Options in and on interest rate futures contracts: results from martingale pricing theory

✍ Scribed by Cherubini, U.; Esposito, M.


Book ID
121332483
Publisher
Taylor and Francis Group
Year
1995
Tongue
English
Weight
773 KB
Volume
2
Category
Article
ISSN
1350-486X

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## 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