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Index Arbitrage Profitability · Study

WorkIndex Arbitrage Profitability

George Sofianos1993

Work1993

Index Arbitrage Profitability

George Sofianos

77 citations·0/0 files stored·The Journal of Derivatives

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

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1994Program Trading and Intraday Volatility 2000SETS, arbitrage activity, and stock price dynamics 1995Dax index futures: Mispricing and arbitrage in German markets 2001Index arbitrage with heterogeneous investors: A smooth transition error correction analysis 2002Mean reversion in stock index futures markets: A nonlinear analysis 1993Intraday relationships among index arbitrage, spot and futures price volatility, and spot market volume: A transactions data test 2008The limits to stock index arbitrage: Examining S&P 500 futures and SPDRS 2010A quantum model of option pricing: When Black–Scholes meets Schrödinger and its semi-classical limit

Details

Year1993

Typeother

Published1993-08-31

VenueThe Journal of Derivatives

ISSN-L1074-1240

Languageen

Citations77

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.3905/jod.1993.407871

openalex_workW2034734183

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