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Efficiency Tests of the French Index (CAC 40) Options Market · Study

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PreprintEfficiency Tests of the French Index (CAC 40) Options Market

Gunther Capelle‐Blancard2001

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Preprintgreen2001

Efficiency Tests of the French Index (CAC 40) Options Market

Gunther Capelle‐Blancard · Mo Chaudhury

39 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 1995The Limits of Arbitrage 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market 1997Empirical Performance of Alternative Option Pricing Models 1994Implied Binomial Trees 1975Fact and Fantasy in the Use of Options 1989Inferring the Components of the Bid-Ask Spread: Theory and Empirical Tests

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2007The internal and cross market efficiency in index option markets: an investigation of the Italian market

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Year2001

Typepreprint

Published2001-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations39

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.283695

openalex_workW1577510367

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