141 |
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How Electronic Trading Affects Bid-Ask Spreads and Arbitrage Efficiency Between Index Futures and Options
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Cheng, K. H. K.; Fung, J. K. W.; Tse, Y.
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Published by J. Wiley in affiliation with the Center for the Study of Futures Markets, Columbia University
|
2005
|
|
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142 |
|
A Comparative Study of Alternative Extreme-Value Volatility Estimators
|
Bali, T. G.; Weinbaum, D.
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Published by J. Wiley in affiliation with the Center for the Study of Futures Markets, Columbia University
|
2005
|
|
|
143 |
|
Forecasting Futures Returns in the Presence of Price Limits
|
Harel, A.; Harpaz, G.; Yagil, J.
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Published by J. Wiley in affiliation with the Center for the Study of Futures Markets, Columbia University
|
2005
|
|
|
144 |
|
Position Limits for Cash-Settled Derivative Contracts
|
Dutt, H. R.; Harris, L. E.
|
Published by J. Wiley in affiliation with the Center for the Study of Futures Markets, Columbia University
|
2005
|
|
|
145 |
|
The Global Market for OTC Derivatives: An Analysis of Dealer Holdings
|
Emm, E. E.; Gay, G. D.
|
Published by J. Wiley in affiliation with the Center for the Study of Futures Markets, Columbia University
|
2005
|
|
|
146 |
|
A Note on the Superiority of the OLS Hedge Ratio
|
Lien, D.
|
Published by J. Wiley in affiliation with the Center for the Study of Futures Markets, Columbia University
|
2005
|
|
|
147 |
|
Pricing Vulnerable Options in Incomplete Markets
|
Hung, M.-W.; Liu, Y.-H.
|
Published by J. Wiley in affiliation with the Center for the Study of Futures Markets, Columbia University
|
2005
|
|
|
148 |
|
Implied Correlation Index: A New Measure of Diversification
|
Skintzi, V. D.; Refenes, A.-P. N.
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Published by J. Wiley in affiliation with the Center for the Study of Futures Markets, Columbia University
|
2005
|
|
|
149 |
|
Is It Important to Consider the Jump Component for Pricing and Hedging Short-Term Options?
|
Kim, I. J.; Kim, S.
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Published by J. Wiley in affiliation with the Center for the Study of Futures Markets, Columbia University
|
2005
|
|
|
150 |
|
What Moves the Tail? The Determinants of the Option-Implied Probability Density Function of the DAX Index
|
Glatzer, E.; Scheicher, M.
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Published by J. Wiley in affiliation with the Center for the Study of Futures Markets, Columbia University
|
2005
|
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