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Options pricing and short‐selling in the underlying: Evidence from India
作者:
Alok Dixit
, Shivam Singh , None
DOI:
10.1002/FUT.22040
关键词:
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索引来源
1
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1
wiley.com
本地加速
sci-hub.se
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参考文章
(36)
1.
Shivam Singh, Vipul., None,
Performance of Black-Scholes model with TSRV estimates
Managerial Finance.
,vol. 41, pp. 857- 870 ,(2015) ,
10.1108/MF-06-2014-0177
2.
Sonia Garg, Vipul,
Volatility Risk Premium in Indian Options Prices
Journal of Futures Markets.
,vol. 35, pp. 795- 812 ,(2015) ,
10.1002/FUT.21680
3.
Vipul,
Box‐spread arbitrage efficiency of Nifty index options: The Indian evidence
Journal of Futures Markets.
,vol. 29, pp. 544- 562 ,(2009) ,
10.1002/FUT.20376
4.
Lawrence Harris, None,
A Day-End Transaction Price Anomaly
The Journal of Financial and Quantitative Analysis.
,vol. 24, pp. 29- 45 ,(1989) ,
10.2307/2330746
5.
Vipul,
Cross‐market efficiency in the Indian derivatives market: A test of put–call parity
Journal of Futures Markets.
,vol. 28, pp. 889- 910 ,(2008) ,
10.1002/FUT.20325
6.
Gerald D. Gay, Dae Y. Jung,
A further look at transaction costs, short sale restrictions, and futures market efficiency: The case of Korean stock index futures
Journal of Futures Markets.
,vol. 19, pp. 153- 174 ,(1999) ,
10.1002/(SICI)1096-9934(199904)19:2<153::AID-FUT2>3.0.CO;2-S
7.
J. Michael Harrison, David M. Kreps,
Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
Quarterly Journal of Economics.
,vol. 92, pp. 323- 336 ,(1978) ,
10.2307/1884166
8.
Lawrence Harris, None,
A transaction data study of weekly and intradaily patterns in stock returns
Journal of Financial Economics.
,vol. 16, pp. 99- 117 ,(1986) ,
10.1016/0304-405X(86)90044-9
9.
Avraham Kamara, Thomas W. Miller,
Daily and Intradaily Tests of European Put-Call Parity
Journal of Financial and Quantitative Analysis.
,vol. 30, pp. 519- 539 ,(1995) ,
10.2307/2331275
10.
ERIC C. CHANG, JOSEPH W. CHENG, YINGHUI YU,
Short‐Sales Constraints and Price Discovery: Evidence from the Hong Kong Market
Journal of Finance.
,vol. 62, pp. 2097- 2121 ,(2007) ,
10.1111/J.1540-6261.2007.01270.X
来源期刊
Journal of Futures Markets
John Wiley & Sons, Ltd
2019 年,
Volume: 39, Issue: 10,
Page: 1250-1268
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