𝔖 Bobbio Scriptorium
✦   LIBER   ✦

PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY

✍ Scribed by Vadim Linetsky


Book ID
111043044
Publisher
John Wiley and Sons
Year
2006
Tongue
English
Weight
490 KB
Volume
16
Category
Article
ISSN
0960-1627

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This article examines the intraday price discovery process among stock index, index futures, and index options in Germany using DAX index securities and intraday transactions data. The three index securities contribute to a common factor, but the spot index and index futures have substantially large