EARLY UNWINDING STRATEGY IN INDEX OPTIONS-FUTURES ARBITRAGE
Author:
Affiliation:
1. The Hong Kong Polytechnic University
2. Hong Kong Baptist University
Publisher
Wiley
Subject
Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1475-6803.1998.tb00697.x/fullpdf
Reference14 articles.
1. Arbitrage in stock index futures;Brennan;Journal of Business,1990
2. Taxes and the pricing of stock index futures;Cornell;Journal of Finance,1983
3. On the arbitrage-free pricing relationship between index futures and index options: A note;Fung;Journal of Futures Markets,1994
4. The intraday pricing efficiency of Hong Kong Hang Seng Index options and futures markets;Fung;Journal of Futures Markets,1997
5. Intraday arbitrage opportunities and price behavior of the Hang Seng Index futures;Ho;Review of Futures Markets,1992
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