Differences in Trading and Pricing Between Stock and Index Options.
Michael LemmonSophie Xiaoyan NiPublished in: Manag. Sci. (2014)
Keyphrases
- stock index
- stock price
- option pricing
- financial markets
- trading systems
- stock data
- stock market
- stock exchange
- black scholes model
- convertible bonds
- stock trading
- black scholes
- investment strategies
- garch model
- double exponential
- non stationary
- chinese stock market
- futures market
- statistically significant
- trading strategies
- indexing method
- electronic commerce
- pricing model
- financial data
- foreign exchange
- index structure
- news articles
- risk management
- database
- financial time series
- financial information
- mechanism design
- test bed