✦ LIBER ✦

The Factors Behind Put-Call Parity Violations of S&P 100 Index Options

✍ Scribed by Drew Wagner; David M. Ellis; David A. Dubofsky

Book ID: 114758819
Publisher: John Wiley and Sons
Year: 1996
Tongue: English
Weight: 857 KB
Volume: 31
Category: Article
ISSN: 0732-8516
DOI: 10.1111/j.1540-6288.1996.tb00885.x

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Put-call parity and the informational ef

Put-call parity and the informational efficiency of the German DAX-index options market

✍ Stefan Mittnik; Sascha Rieken 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 620 KB

Put-call parities and the value of early

Put-call parities and the value of early exercise for put options on a performance index

✍ De Roon, Frans; Veld, Chris 📂 Article 📅 1996 🏛 John Wiley and Sons 🌐 English ⚖ 433 KB 👁 1 views

Still other put-call parities can be derived if it is assumed, for instance, that discrete dividend payments are made.

The quality of market volatility forecas

The quality of market volatility forecasts implied by S&P 100 index option prices

✍ Jeff Fleming 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 235 KB

The impacts of index options on the unde

The impacts of index options on the underlying stocks: The case of the S&P 100

✍ Shinhua Liu 📂 Article 📅 2009 🏛 Elsevier Science 🌐 English ⚖ 160 KB

The relationship between the volatilitie

The relationship between the volatilities of the S&P 500 index and futures contracts implicit in their call option prices

✍ Li-Ming Han; Lalatendu Misra 📂 Article 📅 1990 🏛 John Wiley and Sons 🌐 English ⚖ 743 KB

he volatility of the stock market is a matter of great concern to investors. The high T level of market volatility has attracted regulatory attention since the crash of October 19, 1987. The stock market is believed to be more volatile now than it has been in the past. Investor surveys conducted aft