This study investigates the institutional investors who hold nonzero synchronous positions in both derivative and underlying stocks to increase contract payoffs. We show that the potential manipulators settle or offset their TAIEX futures and options and simultaneously trade the constituent...

We set out, in this paper, to extend the Das and Sundaram (2000) model as a means of simultaneously considering correlated default risk structure and counter-party risk. The multinomial model established by Kamrad and Ritchken (1991) is subsequently modified in order to facilitate the...