Problems associated with pricing tests of index futures include the general inability to trade the underlying index as an individual security, thin trading in the constituent stocks of the index, and the inability to adjust for all dividend payments in the underlying index. These problems are discus
โฆ LIBER โฆ
Valuation of a European futures option in the BIFFEX market
โ Scribed by Tvedt, Jostein
- Publisher
- John Wiley and Sons
- Year
- 1998
- Tongue
- English
- Weight
- 174 KB
- Volume
- 18
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
A comparison of futures pricing models i
โ
Brailsford, T.J.; Cusack, A.J.
๐
Article
๐
1997
๐
John Wiley and Sons
๐
English
โ 234 KB
๐ 2 views
The determinants of bid-ask spreads in t
โ
Ding, David K.
๐
Article
๐
1999
๐
John Wiley and Sons
๐
English
โ 232 KB
๐ 1 views
This paper investigates and analyzes the intraday and daily determinants of bid-ask spreads (BASs) in the foreign exchange futures (FXF) market. It is found that the number of transactions and the volatility of FXF prices are the major determinants. The number of transactions is negatively related t
A bivariate generalized autoregressive c
โ
Jacobs, Michael; Onochie, Joseph
๐
Article
๐
1998
๐
John Wiley and Sons
๐
English
โ 213 KB
๐ 3 views