We examine market efficiency before and after the 1987 Market Crash using the box spread strategy implemented with European-style Samp;P~500 Index (SPX) options. Before the Crash, apparent arbitrage opportunities were rare and simulated trades were unprofitable assuming a one-minute execution...

We examine the forecast quality of Chicago Board Options Exchange (CBOE) implied volatility indexes based on the Standard and Poor's 100 and Nasdaq 100 stock indexes. We find that the forecast quality of CBOE implied volatilities for the Samp;P 100 (VIX) has significantly improved in recent...

Existing empirical studies of the put-call parity condition report frequent, substantial violations. An important problem in interpreting these results is that these studies all investigate American options. While some of these studies attempt to reduce the effects of possible early exercise on...

In this paper, we report the first empirical tests concerning the international investment strategies of a panel of investment houses from 1982 through 1999. The previously untapped data for this study comes from surveys published in the Financial Report, a confidential newsletter purchased by...

We examine the riskless box spread trading strategy before and after the 1987 Market Crash using intraday data for Samp;P 500 Index (SPX) options. We find that the Crash had a significant impact on trading profitability. Before the Crash, apparently profitable trading opportunities were rare and...

We examine market efficiency before and after the 1987 Market Crash using the box spread strategy implemented with European-style S&P 500 Index (SPX) options. Before the Crash, apparent arbitrage opportunities were rare and simulated trades were unprofitable assuming a one-minute execution...