| Reference: | BAE,K.H., K. Chan and Y.L. Cheung,"The Profitability of Index Futures Arbitrage：Evidence from Bid-Ask Quotes," The Journal of Futures Markets, Vol.18,No. 7, 1998,pp. 743-763.
Ball, C. A., and W. N. Torous,"Futures Options and the Volatility of Futures Prices,Journal of Finance ,Vol.41(4), September 1986, pp.857-870.
Brenner,M., M.G. Subrahmanyam, and J. Uno,"Arbitrage Opportunities in the Japanese Stock and Futures Markets," Financial Analysts Journal,March-April 1990,pp.14-24.
Chiang, Raymond, Ho, Richard,and Wong, Eric,"Hang Seng Index Option：The Efficiency of a New Market,"working paper,Chinese University of Hong Kong,1993.
Chiras, Donald P.,"The Information Content of Option Prices and a Test of Market Efficiency," Journal of Financial Economics , Vol.6,No.2/3, June/Sept. 1978, pp. 213-234.
Cornell,B., and K. R. French,"Taxes and the Pricing of Stock Index Futures," The Journal of Finance, Vol.38, 1983, pp.675-694.
Figlewski,S.,"Explaining the Early Discounts on Stock Index Futures：The Case for Disequilibrium," Financial Analysts Journal,July-Auguest 1984,pp.43-47.
Followill, R. A., and B. P. Helms,"Put-Call-Futures Parity and Arbitrage Opportunity in the Market for Options on Gold Futures Contracts." The Journal of Futures Markets, Vol.10(4),1990, pp.339-352.
Frans, D. R.,"Put-call parities and the value of early exercise for put options on a performance index," The Journal of Futures Markets,Vol.16,No.1, Feb. 1996,pp. 71-80.
Frans, D.R. and Chris Veld,"Put-Call Parities and The Value Of Early Exercise For Put Options On A Performance Index," The Journal of Futures Markets, Vol 16, No. 1,1996, pp.71-80.
Fung ,Joseph K.W. and K. C. Chan,"On The Arbitrage-Free Pricing Relationship Between Index Futures and Index Options：A Note,"The journal of Futures Markets, Vol.14 , 1994, pp.957-962.
Fung,Joseph K.W., T.W. Louis Cheng, Kam C. Chan,"The Intraday Pricing Efficiency Of Hong Kong Hang Seng Index Option And Futures Markets," The Journal of Futures Markets, Vol.17, 1997, pp.797-815.
Gould,J.P.,and Dan Galai.,"Transactions Costs and the Relationship Between Put and Call Prices," Journal of Financial Economics,Vol.1,No,2,July 1974,pp.107-129.
Jordan, J. V., and W. E. Seale,"Transactions Data Tests of Minimum Prices and Put-Call Parity for Treasury Bond Futures Options,"Advances in Futures and Options Research, 1,Part A, 1986, pp.63-87.
Lee,J. H. and N. Nayar,"A Transactions Data Analysis of Arbitrage between Index Options and Index futures," The Journal of Futures Markets, Vol.13,No. 8, 1993, pp.889-902.
Mackinlay,A.C. and K. Ramaswamy,"Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices," Riview of Financial Studies,Vol.1,No.2,Summer 1988,pp.137-158.
Merrick,J.J.,"Early Unwindings and Rollovers of Stock Index Futures Arbitrage Programs：Analysis and Implication for Predicting Expiration Day Effects," The Journal of Futures Markets,Vol.9,No.2, 1989,pp.101-111.
Merton,Robert C.,"Theory of Rational Option Pricing," Bell Journal of Economics Management Science,Vol.4,No.1,Spring 1973,pp.141-183.
Modest, D. M. and M. Sundaresan,"The Relationship Between Spot and Futures Prices in Stock Index Futures Markets：Some Preliminary Evidence," Journal of Futures Markets, Vol.3,No.3, 1983,pp.15-41.
Sofianos,G.,"Index Arbitrage Profitability," The Journal of Derivatives,Fall 1993,pp.7-20.
Stephen, A.Easton,"Put-call parity with futures-style margining," Journal of Futures Markets ,Vol. 17,No. 2, Apr. 1997,pp. 215-227 (13 pages).
Stoll, Hans R.,"Index Futures, Program Trading, and Stock Market Procedures.," Journal of Futures Markets, Vol.8,No.4, Aug. 1988, pp. 391-412 (22 pages).
Stoll, Hans R.,"The Relationship Between Put and Call Options Prices.," Journal of Finance, Vol.24,No.5,May 1969, pp.319-332.
Tucker,A. L.,"Financial Futures, Options, and Swaps," West Publishing Company,1991.
Fleming ,J.,O. Barbara,.and E.W. Robert,"Trading Costs and The Relative Rates Of Price Discovery In Stock, Futures, and Option Markets," The Journal of Futures Markets, Vol. 16, No. 4,1996,pp.353-387. |
