Similar Search Results - EconBiz

Box spread arbitrage profits following the 1987 market crash : real or illusory?

Hemler, Michael Lee - In: Journal of financial and quantitative analysis : JFQA 32 (1997) 1, pp. 71-90

Persistent link: https://www.econbiz.de/10001218123

Box Spread Arbitrage Profits Following the 1987 Market Crash : Real or Illusory?

Hemler, Michael Lee - 1997

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...

Persistent link: https://www.econbiz.de/10012792156

The relationship between index option moneyness and relative liquidity

Etling, Cheri; Miller, Thomas W. - In: The journal of futures markets 20 (2000) 10, pp. 971-987

Persistent link: https://www.econbiz.de/10001530843

Daily and intradaily tests of European put-call parity

Kamara, Avraham - In: Journal of financial and quantitative analysis : JFQA 30 (1995) 4, pp. 519-539

Persistent link: https://www.econbiz.de/10001217189

The effect of futures trading on the stability of Standard and Poor 500 returns

Kamara, Avraham - In: The journal of futures markets 12 (1992) 6, pp. 645-658

Persistent link: https://www.econbiz.de/10001133906

A note on a simple, accurate formula to compute implied standard deviations

Corrado, Charles Joseph - In: Journal of banking & finance 20 (1996) 3, pp. 595-603

Persistent link: https://www.econbiz.de/10001197032

Derivatives : valuation and risk management

Dubofsky, David A.; Miller, Thomas W. - 2003

Persistent link: https://www.econbiz.de/10001603420

Directly measuring early exercise premiums using American and European S&P 500 Index options

Dueker, Michael; Miller, Thomas W. - In: The journal of futures markets 23 (2002) 3, pp. 287-313

Persistent link: https://www.econbiz.de/10001765120

Market microstructure effects on the direct measurement of the early exercise premium in S&P 500 index options

Dueker, Michael; Miller, Thomas W. - 1996

Persistent link: https://www.econbiz.de/10000962973

The forecast quality of CBOE implied volatility indexes

Corrado, Charles Joseph; Miller, Thomas W. - In: The journal of futures markets 25 (2005) 4, pp. 339-373

Persistent link: https://www.econbiz.de/10002647798

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