Trading volatility spreads: A test of index option market efficiency

European Financial Management

Volumn 6, Issue 2, 2000, Pages 235-260

  Poon, Ser Huang ^a   Pope, Peter F ^a  

^a LANCASTER UNIVERSITY   (United Kingdom)

Author keywords

Canonical correlation; Common volatility; Index option; Market efficiency; Vega delta neutral portfolio

Indexed keywords

EID: 9144248792     PISSN: 13547798     EISSN: 1468036X     Source Type: Journal    
DOI: 10.1111/1468-036X.00122     Document Type: Article

References (0)