| Reference: | 參考文獻
Ackert, L.F. and Y.S. Tian(2001), “Efficiency in Index Options Markets and Trading in Stock Baskets,” Journal of Banking & Finance, Vol.25, pp.1607~1634.
Bae, Chan, and Cheung(1998), “The Profitability of Index Futures Arbitrage：Evidence from Bid-Ask Quotes,” The Journal of Futures Market, Vol.18(7), pp.743~763.
Bharadwaj, A. and J.B. Wiggins(2001), “Box Spread and Put-Call Parity Tests for the S&P 500 Index LEAPS Market,” The Journal of Derivatives, Summer, pp.62~71.
Billingsley, R.S. and D.M. Chance(1988), “Put-Call Ratios and Market Timing Effectiveness.” The Journal of Portfolio Management, Fall, pp.25~28.
Chance, D.M.(1987), “Parity Tests of Index Options.” Advances in Futures and Options Research, Vol.2, pp.47~64.
Followill, R.A. and B.P. Helms(1990), “Put-Call-Futures Parity and Arbitrage Opportunity in the Market for Options on Gold Futures Contracts,” The Journal of Futures Market, Vol.10(4), pp.339~352.
Fung and Chan(1994), “On the Arbitrage-Free Pricing Relationship between Index Futures and Index Options：A Note,” The Journal of Futures Market, Vol.14(8), pp.957~962.
Fung ,Cheng and Chan(1997), “The Intraday Pricing Efficiency of Hong Kong Hang Seng Index Options and Futures Markets,” The Journal of Futures Market, Vol.17(7), pp.797~815.
Hemler, M.L. and Miller Jr., T.W. (1997), “Box Spread Arbitrage Profits following the 1987 Market Crash：Real or illusory?,” Journal of Financial and Quantitative Analysis, Vol.32(1), pp.71~90.
Kamara, A. and Miller Jr., T.W. (1995), “Daily and Intradaily Tests of European Put-Call Parity,” Journal of Financial and Quantitative Analysis, Vol.30, pp.519~539.
Lee, J.H. and N. Nayar(1993), “A Transactions Data Analysis of Arbitrage between Index Options and Index Futures.” The Journal of Futures Market, Vol.13(8), pp.14~889~902.
Marchand P.H. , J.T. Lindley and R.A. Followill(1994), “Further Evidence on Parity Relationships in Options on S&P 500 Index Futures,” The Journal of Futures Market, Vol.14(6), pp.757~771.
Nisbet, M. (1992), “Put-Call Parity and an Empirical Test of the Efficiency of the London Traded Options Market,” Journal of Banking & Finance, Vol.16, pp.381~403.
Ronn, A.G. and E.L. Roon(1989), “The Box Spread Arbitrage Conditions：Theory, Tests, and Investment Strategies,” The Review of Financial Studies, Vol.2(1), pp.91~108.
Roon, F.D. and C. Veld(1996), “Put-Call Parities and the Value of Early Exercise for Put Options on A Performance Index,” The Journal of Futures Market, Vol.16(1), pp.71~80.
Sternberg, J.S.(1994), “A Reexamination of Put-Call Parity on Index Futures,” The Journal of Futures Market, Vol.14(1), pp.79~101.
Stoll, H.R.(1969), “The Relationship Between Put and Call Option Prices,” The Journal of Finance, Vol.24, pp.801~824. |
