THE EFFECT OF TTT INTRODUCTION ON SPOT-FUTURES AND SPOT-OPTIONS ARBITRAGES
碩士 === 國立臺灣大學 === 財務金融學研究所 === 92 === This paper uses cost-of-carry model to simulate spot-futures pricing relationship, and uses put-call parity and boundary condition of call and put to simulate spot-option pricing relationship. The empirical results support that spot-futures pricing relationship...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2004
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/91001076777711528553 |