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Pricing dynamics of index options and index futures in Hong Kong before and during the Asian financial crisis

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References

1996Trading costs and the relative rates of price discovery in stock, futures, and option markets424 cited
1969THE RELATIONSHIP BETWEEN PUT AND CALL OPTION PRICES377 cited
1990Arbitrage in Stock Index Futures225 cited
1983Taxes and the Pricing of Stock Index Futures199 cited
1983The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence174 cited
1991The intraday ex post and ex ante profitability of index arbitrage69 cited
1993A transactions data analysis of arbitrage between index options and index futures42 cited
1990Financial Futures, Options, and Swaps39 cited

Cited by

2007The information content of option implied volatility surrounding the 1997 Hong Kong stock market crash36 cited
2015Common deviation and regime-dependent dynamics in the index derivatives markets35 cited
2021Effectiveness of policy interventions during financial crises in China and Russia: Lessons for the COVID-19 pandemic31 cited
2004Net buying pressure, volatility smile, and abnormal profit of Hang Seng Index options27 cited

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