Riva, Fabrice; Deville, Laurent - Université Paris-Dauphine (Paris IX) - 2004
This paper examines the determinants of the time it takes for an index options market to be brought back to efficiency … after put-call parity deviations, using intraday transactions data from the French CAC 40 index options over the August 2000 …, trading volume as well as trade imbalances in call and put options, and volatility are important in understanding why some …