THE PRICING OF FUTURES AND OPTIONS CONTRACTS ON THE VALUE LINE INDEX

被引:11
作者
EYTAN, TH
HARPAZ, G
机构
关键词
D O I
10.2307/2328232
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:843 / 855
页数:13
相关论文
共 21 条
[1]  
[Anonymous], 1975, STOCHASTIC DIFFERENT
[2]   PRICING OF COMMODITY CONTRACTS [J].
BLACK, F .
JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (1-2) :167-179
[3]   PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].
BLACK, F ;
SCHOLES, M .
JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :637-654
[4]   CAPITAL-MARKET EQUILIBRIUM WITH PERSONAL TAX [J].
CONSTANTINIDES, GM .
ECONOMETRICA, 1983, 51 (03) :611-636
[5]   TAXES AND THE PRICING OF STOCK INDEX FUTURES [J].
CORNELL, B ;
FRENCH, KR .
JOURNAL OF FINANCE, 1983, 38 (03) :675-694
[6]   FORWARD AND FUTURES PRICES - EVIDENCE FROM THE FOREIGN-EXCHANGE MARKETS [J].
CORNELL, B ;
REINGANUM, MR .
JOURNAL OF FINANCE, 1981, 36 (05) :1035-1045
[7]   VALUATION OF OPTIONS FOR ALTERNATIVE STOCHASTIC-PROCESSES [J].
COX, JC ;
ROSS, SA .
JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (1-2) :145-166
[8]   THE RELATION BETWEEN FORWARD PRICES AND FUTURES PRICES [J].
COX, JC ;
INGERSOLL, JE ;
ROSS, SA .
JOURNAL OF FINANCIAL ECONOMICS, 1981, 9 (04) :321-346
[9]   MARGINS AND MARKET INTEGRITY - MARGIN SETTING FOR STOCK INDEX FUTURES AND OPTIONS [J].
FIGLEWSKI, S .
JOURNAL OF FUTURES MARKETS, 1984, 4 (03) :385-416
[10]  
Figlewski S., 1984, FINANCIAL ANAL J, V40, P43