Empirical tests of efficiency of the Italian index options market

Journal of Empirical Finance

Volumn 7, Issue 2, 2000, Pages 173-193

  Cavallo, Laura ^a,b   Mammola, Paolo ^c  

^a Prime Minister's Office   (Italy)

^b UNIVERSITY OF ROME TOR VERGATA   (Italy)

^c Citibank Milan   (Italy)

Author keywords

G13; G15; Implied volatilities; Lower boundary; Put call parity; Transaction costs; Volatility trading

Indexed keywords

EID: 0009212281     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(00)00010-4     Document Type: Article

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