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The Box Spread Arbitrage Conditions: Theory, Tests, and Investment Strategies

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References

1973Theory of Rational Option Pricing8,060 cited
2005Theory of rational option pricing7,161 cited
1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
1980An ex ante analysis of put-call parity65 cited

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2003The Maximands of Corporate Governance: A Theory of Values and Cognitive Style36 cited
2007The internal and cross market efficiency in index option markets: an investigation of the Italian market36 cited
2003Option Spread and Combination Trading36 cited
2001Box Spread and Put-Call Parity Tests for the S&P 500 Index LEAPS Market26 cited
1997Box Spread Arbitrage Profits following the 1987 Market Crash: Real or Illusory?26 cited

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