Title: Further evidence on parity relationships in options on S&P 500 index futures
Abstract: Journal of Futures MarketsVolume 14, Issue 6 p. 757-771 Article Further evidence on parity relationships in options on S&P 500 index futures Patrick H. Marchand, Patrick H. Marchand Patrick H. Marchand is President of Marchand Investment Research in Mobile, Alabama.Search for more papers by this authorJames T. Lindley, James T. Lindley James T. Lindley is a Professor of Finance, University of Southern Mississippi.Search for more papers by this authorRichard A. Followill, Richard A. Followill Richard A. Followill is a Professor of Finance at Radford University.Search for more papers by this author Patrick H. Marchand, Patrick H. Marchand Patrick H. Marchand is President of Marchand Investment Research in Mobile, Alabama.Search for more papers by this authorJames T. Lindley, James T. Lindley James T. Lindley is a Professor of Finance, University of Southern Mississippi.Search for more papers by this authorRichard A. Followill, Richard A. Followill Richard A. Followill is a Professor of Finance at Radford University.Search for more papers by this author First published: September 1994 https://doi.org/10.1002/fut.3990140607Citations: 7 AboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onEmailFacebookTwitterLinkedInRedditWechat Bibliography Bhattacharya, M. (1983): “Transactions Data Tests of Efficiency of the Chicago Board Options Exchange,” Journal of Financial Economics, 12: 161–185. 10.1016/0304-405X(83)90034-X Web of Science®Google Scholar Billingsley, R., and Chance, D. (1985): “Option Market Efficiency and the Box Spread Strategy,” The Financial Review, 20: 287–301. 10.1111/j.1540-6288.1985.tb00309.x Google Scholar Brennan, M., and Schwartz, E. (1977): “The Valuation of American Put Options,” Journal of Finance, 32: 449–462. 10.2307/2326779 Web of Science®Google Scholar Chance, D. (1987): “Parity Tests of Index Options,” Advances in Futures and Options Research, 2: 47–64. Google Scholar Choi, J., Salandro, D., and Shastri, K. (1988): “On the Estimation of Bid-Ask Spreads: Theory and Evidence,” Journal of Financial and Quantitative Analysis, 23: 219–230. 10.2307/2330882 Web of Science®Google Scholar Galai, D. (1977): “Tests of Market Efficiency of the Chicago Board Options Exchange,” Journal of Business, 50: 167–197. 10.1086/295929 Web of Science®Google Scholar Harris, L. (1990): “Statistical Properties of the Roll Serial Covariance Bid/Ask Spread Estimator,” Journal of Finance, 45: 579–590. 10.1111/j.1540-6261.1990.tb03704.x Web of Science®Google Scholar Jordan, J., and Seale, W. (1986): “Transactions Data Tests of Minimum Prices and Put—Call Parity for Treasury Bond Futures Options,” Advances in Futures and Options Research, 1: 63–87. Google Scholar Karpoff, J., and Walkling, R. (1988): “Short-Term Trading Around Ex-Dividend Days: Additional Evidence,” Journal of Financial Economics, 21: 291–298. 10.1016/0304-405X(88)90063-3 Web of Science®Google Scholar Ma, C., Peterson, R., and Sears, R. (1992): “Trading Noise, Adverse Selection, and Intraday Bid—Ask Spreads in Futures Markets,” The Journal of Futures Markets, 12: 519–538. 10.1002/fut.3990120504 Web of Science®Google Scholar Ohlson, J., and Penman, S. (1985): “Volatility Increases Subsequent to Stock Splits: An Empirical Aberration,” Journal of Financial Economics, 14: 251–266. 10.1016/0304-405X(85)90017-0 Web of Science®Google Scholar Phillips, S., and Smith, C. (1980): “Trading Costs for Listed Options: The Implications for Market Efficiency,” Journal of Financial Economics, 8: 179–201. 10.1016/0304-405X(80)90016-1 Web of Science®Google Scholar Roll, R. (1984): “A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market,” Journal of Finance, 39: 1127–1139. 10.1111/j.1540-6261.1984.tb03897.x Web of Science®Google Scholar Ronn, A., and Ronn, E. (1989): “The Box Spread Arbitrage Conditions: Theory, Tests, and Investment Strategies,” The Review of Financial Studies, 2: 91–108. 10.1093/rfs/2.1.91 Web of Science®Google Scholar Sofianos, G. (1993): “Index Arbitrage Profitability,” The Journal of Derivatives, 1: 6–20. 10.3905/jod.1993.407871 Google Scholar Stoll, H. (1989): “Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests,” Journal of Finance, 44: 115–134. 10.1111/j.1540-6261.1989.tb02407.x Web of Science®Google Scholar Citing Literature Volume14, Issue6September 1994Pages 757-771 ReferencesRelatedInformation
Publication Year: 1994
Publication Date: 1994-09-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 10
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