On the arbitrage‐free pricing relationship between index futures and index options: A note

Joseph K W FUNG; Kam C. Chan

doi:10.1002/fut.3990140807

On the arbitrage‐free pricing relationship between index futures and index options: A note

Joseph K W FUNG^*, Kam C. Chan

^*Corresponding author for this work

Research output: Contribution to journal › Journal article › peer-review

19 Citations (Scopus)

Original language	English
Pages (from-to)	957-962
Number of pages	6
Journal	Journal of Futures Markets
Volume	14
Issue number	8
DOIs	https://doi.org/10.1002/fut.3990140807
Publication status	Published - Dec 1994

Scopus Subject Areas

Accounting
Business, Management and Accounting(all)
Finance
Economics and Econometrics

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title = "On the arbitrage‐free pricing relationship between index futures and index options: A note",

author = "FUNG, {Joseph K W} and Chan, {Kam C.}",

year = "1994",

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T2 - A note

AU - FUNG, Joseph K W

AU - Chan, Kam C.

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JF - Journal of Futures Markets

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On the arbitrage‐free pricing relationship between index futures and index options: A note

Scopus Subject Areas

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