Wang, Ching-Ping; Huang, Hung-Hsi; Hung, Chien-Chia - In: The International Journal of Business and Finance Research 5 (2011) 2, pp. 115-125
error for calls but negative impact for puts. Open interest has a significantly negative impact on the index pricing error … for calls. Volatility for calls has no significant effect on the index pricing error. The path-dependent effect on index … investigated the optimal explanatory variables of index pricing error. …
