A reexamination of put-call parity on index futures

A study attempts to overcome the problems of data and trading non-synchronization faced by anyone studying mispricing in the derivitave securities markets. A data filtering technique is developed that minimizes susceptibility to these problems. As a result, a more reliable assessment of market effic...

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Bibliographische Detailangaben

Veröffentlicht in:	The journal of futures markets 1994-02, Vol.14 (1), p.79-101
1. Verfasser:	Sternberg, Joel S.
Format:	Artikel
Sprache:	eng
Schlagworte:	Futures Futures trading Market efficiency Mathematical models Parity Price levels Put & call options Stock exchange Studies Techniques
Online-Zugang:	Volltext
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