Box spread and put-call parity tests for the S&P 500 Index LEAPS Market

Journal of Derivatives

Volumn 8, Issue 4, 2001, Pages 62-71

  Bharadwaj, Anu ^a   Wiggins, James B ^b  

^a International Arbitration and Litigation Practice   (United States)

^b MICHIGAN STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 44649180534     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2001.319163     Document Type: Article

References (12)

1. Ackert, Lucy F., and Yisong S. Tian. "The Introduction of Toronto Index Participation Units and Arbitrage Opportunities in the Toronto 35 Index Option Market." Journal of Derivatives, Summer 1998, pp. 44-53.
2. Bakshi, Gurdip, Charles Cao, and Zhiwu Chen. "Pricing and Hedging Long-Term Options." Journal of Econometrics, 94 (2000), pp. 277-318.
3. Billingsley, Randall S., and Don M. Chance. "Options Market Efficiency and the Box Spread Strategy." The Financial Review, 20 (1985), pp. 287-301.
4. Black, Fischer, and Myron Scholes. "The Pricing of Options and Corporate Liabilities." Journal of Political Economy, 81 (1978), pp. 637-659.
5. Dubofsky, David A., David M. Ellis, and Drew Wagner. "The Factors Behind Put-Call Parity Violations of S&P 100 Index Options." The Financial Review, 31 (1996), pp. 535-552.
6. Evnine, Jeremy, and Andrew Rudd. "Index Options: The Early Evidence." Journal of Finance 40 (1985), pp. 743-756.
7. Figlewski, Stephen. "Arbitrage-Based Pricing of Index Options." Review of Futures Markets, 7 (1988), pp. 251-270.
8. Finucane, Thomas J. "Put-Call Parity and Expected Returns." Journal of Financial and Quantitative Analysis, 26 (1991), pp. 445-457.
9. George, Thomas, and Francis A. Longstaff. "Bid-Ask Spreads and Trading Activity in the S&P 100 Index Options Market." Journal of Financial and Quantitative Analysis, 28 (1993), pp. 381-398.
10. Harvey, Campbell R., and Robert E. Whaley. "Dividends and S&P 100 Index Option Valuation." Journal of Futures Markets, 12 (1992), pp. 123-137.
11. Longstaff, Francis A. "Option Pricing and the Martingale Restriction." Review of Financial Studies, 8 (1995), pp. 1091- 1124.
12. Ronn, Aimee Gerbarg, and Ehud I. Ronn. "The Box Spread Arbitrage Conditions: Theory, Tests and Investment Strategies." The Review of Financial Studies, 2 (1989), pp. 91-108.