Position limits for cash-settled derivative contracts

Journal of Futures Markets

Volumn 25, Issue 10, 2005, Pages 945-965

  Dutt, Hans R ^a   Harris, Lawrence E ^b,c  

^a United States Securities and Exchange Commission   (United States)

^b UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

^c University of Southern California ^*

Author keywords

[No Author keywords available]

Indexed keywords

EID: 25444518213     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/fut.20179     Document Type: Article

References (9)

1. Cornell, B. (1997). Cash settlement when the underlying securities are thinly traded: A case study. The Journal of Futures Markets, 17, 855-871.
2. Garbade, K. D., & Silber, W. L. (1983). Cash settlement of futures contracts: An economic analysis. The Journal of Futures Markets, 3, 451-472.
3. Gastineau, G. L. (1991). Option position and exercise limits: Time for a radical change. Journal of Portfolio Management, 19, 92-96.
4. Grossman, S. J. (1993). The case for eliminating position limits on financial futures. Journal of Financial Engineering, 2, 39-42.
5. Jones, F. J. (1982). The economics of futures and options contracts based on cash settlement. The Journal of Futures Markets, 2, 63-82.
6. Kumar, P., & Seppi, D. J. (1992). Futures manipulation with "cash settlement." The Journal of Finance, 47, 1485-1502.
7. Kyle, A. S. (1984). A theory of futures market manipulations. In R. W. Anderson (Ed.), Industrial organization of futures markets. Lexington, MA: D.C. Heath.
8. Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica, 53, 1315-1335.
9. Telser, L. G. (1993). A review of the case for position limits on agricultural futures. Journal of Financial Engineering, 2, 33-38.