Pricing efficiency of the stock index options market

Efficiency in index options markets and trading in stock baskets

Ackert , Kennesaw State University and Federal Reserve Bank of Atlanta Follow Yisong S. Tian , York University.

Hughes Optioneering

Researchers have reported mispricing in index options markets. We find that pricing efficiency within option markets improves but there is little evidence to support the hypothesis that a stock basket enhances arbitrage across markets.

Pricing efficiency Definition - dikykex.web.fc2.com

When transactions costs and short sales constraints are included, very few violations of inter-market pricing relationships such as put—call parity are reported. However, violations of within market pricing relationships such as the box spread remain frequent.

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Market Efficiency

Home About FAQ My Account. Title Efficiency in Index Options Markets and Trading in Stock Baskets.

Abstract Researchers have reported mispricing in index options markets. Recommended Citation Ackert, Lucy F.

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