Coûts de transaction et parité des options sur actions du SOFFEX

Jean Lefoll

Journal de la société française de statistique (1994)

  • Volume: 135, Issue: 2, page 19-38
  • ISSN: 1962-5197

How to cite

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Lefoll, Jean. "Coûts de transaction et parité des options sur actions du SOFFEX." Journal de la société française de statistique 135.2 (1994): 19-38. <http://eudml.org/doc/199089>.

@article{Lefoll1994,
author = {Lefoll, Jean},
journal = {Journal de la société française de statistique},
language = {fre},
number = {2},
pages = {19-38},
publisher = {Société de statistique de Paris},
title = {Coûts de transaction et parité des options sur actions du SOFFEX},
url = {http://eudml.org/doc/199089},
volume = {135},
year = {1994},
}

TY - JOUR
AU - Lefoll, Jean
TI - Coûts de transaction et parité des options sur actions du SOFFEX
JO - Journal de la société française de statistique
PY - 1994
PB - Société de statistique de Paris
VL - 135
IS - 2
SP - 19
EP - 38
LA - fre
UR - http://eudml.org/doc/199089
ER -

References

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  1. BHATTACHARYA M. (1983) Transactions Data Tests of Efficiency of the Chicago Board Options Exchange, Journal of Financial Economics 12, 161-185. 
  2. BOYLE P. P. and VORST T. (1992) Option Replication in Discrete Time with Transaction Costs, Journal of Finance 47, 271-293. 
  3. CHESNEY M., CHRISTOPHI C., GIBSON R., LOUBERGÉ H. and SCHLAFFER B. (1992) Market Efficiency and Index Option Pricing : An Empirical Study Based on the Swiss Financial Market, Document de recherche. 
  4. CORNELL B. and ROLL R. (1981) Strategies for Pairwise Competitions in Markets and Organizations, Bell Journal of Economics 12, 201-213. MR614790
  5. COX J. C. and RUBINSTEIN M. (1985) Option Markets, Prentice-Hall Inc., Englewood Cliffs, New Jersey. 
  6. DE LONG J. B., SHLEIFER A., SUMMERS L. H. and WALDMANN R. J. (1990) Noise Trader Risk in Financial Markets, Journal of Political Economy 98, 703-738. 
  7. FAMA F. F. (1991) Efficient Capital Markets: II, Journal of Finance 46, 1575-1617. 
  8. FINUCANE T. J. (1991) Put-Call Parity ans Expected Returns, Journal of Financial and Quantitative Analysis 26, 445-457. 
  9. GALAI D. (1989) Testing the Arbitrage Conditions for Option Pricing: A Survey, Finanzmarkt und Portfolio Management 3, 16-27. 
  10. GOULD J. P. and GALAI D. (1974) Transaction Costs and the Relationship Between Put and Call Prices, Journal of Financial Economics 1, 105-129. 
  11. GROSSMAN S. J. and SlTGLITZ J. (1976) Information and Competitive Price Systems, American Economic Review 66, 246-253. 
  12. JENSEN M. C. (1978) Some Anomalous Evidence Regarding Market Efficiency, Journal of Financial Economics 6, 95-101. 
  13. KLEMKOSKY R. C. and RESNICK B. G. (1979) Put-Call Parity and Market Efficiency, Journal of Finance 34, 1141-1155. 
  14. KLEMKOSKY R. C. and RESNICK B. G. (1980) An Ex-Ante Analysis of Put-Call Parity, Journal of Financial Economics 8, 363-378. 
  15. KLEMKOSKY R. C. and RESNICK B. G. (1992) A Note on the No Prémature Exercise Condition of Dividend Payout Unprotected American Call Options : A Clarification, Journal of Banking and Finance 16, 373-379. 
  16. LEFOLL J., ORMOND R. and VELAZQUEZ M. (1990) Arbitrage Conditions for Option Pricing on the SOFFEX, Finanzmarkt und Portfolio Management 4, 129-143. 
  17. LEFOLL J. and PERRAKIS S. (1993) Transaction Costs and Option Bid-and-Ask Spread : An Empirical Investigation in the Swiss Financial Markets, in Janssen J. and Skiadas C. H. eds., Applied Stochastic Models and Data Analysis, World Scientific, Singapore, 529-550. 
  18. LELAND H. (1985) Option Pricing and Replication with Transactions Costs, Journal of Finance 40, 1283-1301. 
  19. MERTON R.C. (1989) On the Application of the Continuous-Time Theory of Finance and to Financial Intermediation and Insurance, The Geneva Papers on Risk and Insurance 14, 225-261. 
  20. PHILLIPS S. M. and SMITH C. W. (1980) Trading Costs for Listed Options : the Implications for Market Efficiency, Journal of Financial Economics 8, 179-201. 
  21. TRAUTMAN S. (1989) Aktienoptionspreise an der Frankfurter Optionsbörse im Lichte der Optionsbewertungstheorie, Finanzmarkt und Portfolio Management 3, 210-225. 

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