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Tests of Market Efficiency of the Chicago Board Options Exchange

โœ Scribed by Dan Galai

Book ID
124679957
Publisher
University of Chicago Press
Year
1977
Tongue
English
Weight
647 KB
Volume
50
Category
Article
ISSN
0021-9398

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Empirical tests of the efficiency of the
Empirical tests of the efficiency of the currency futures options market
โœ Joseph P. Ogden; Alan L. Tucker ๐Ÿ“‚ Article ๐Ÿ“… 1987 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 425 KB ๐Ÿ‘ 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