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

21 Citations (Scopus)

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@article{7e05fe30d3ea4f7785986b9273eba5e6,

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",

month = dec,

doi = "10.1002/fut.3990140807",

language = "English",

volume = "14",

pages = "957--962",

journal = "Journal of Futures Markets",

issn = "0270-7314",

publisher = "Wiley-Liss Inc.",

number = "8",

}

TY - JOUR

T1 - On the arbitrage‐free pricing relationship between index futures and index options

T2 - A note

AU - Fung, Joseph K.W.

AU - Chan, Kam C.

PY - 1994/12

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DO - 10.1002/fut.3990140807

M3 - Journal article

AN - SCOPUS:84978558617

SN - 0270-7314

VL - 14

SP - 957

EP - 962

JO - Journal of Futures Markets

JF - Journal of Futures Markets

IS - 8

ER -