ON THE PRICING OF STOCK INDEX FUTURES

被引：6

|

作者：

MODEST, DM ^{[1
]}

机构：

[1] STANFORD UNIV,GRAD SCH BUSINESS,STANFORD,CA 94305

来源：

JOURNAL OF PORTFOLIO MANAGEMENT | 1984年 / 10卷 / 04期

关键词：

D O I：

10.3905/jpm.1984.408973

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

收藏

页码：51 / 57

页数：7

相关论文

共 50 条

[1] THE PRICING OF STOCK INDEX FUTURES
CORNELL, B
FRENCH, KR
[J]. JOURNAL OF FUTURES MARKETS, 1983, 3 (01) : 1 - 14
[2] Pricing stock index futures with sentiments
Xie, Yutang
Peng, Huan
Feng, Ting
[J]. FINANCE RESEARCH LETTERS, 2024, 61
[3] TAXES AND THE PRICING OF STOCK INDEX FUTURES
CORNELL, B
FRENCH, KR
[J]. JOURNAL OF FINANCE, 1983, 38 (03): : 675 - 694
[4] THE PRICING AND PERFORMANCE OF STOCK INDEX FUTURES SPREADS
BILLINGSLEY, RS
CHANCE, DM
[J]. JOURNAL OF FUTURES MARKETS, 1988, 8 (03) : 303 - 318
[5] Price expectation and the pricing of stock index futures
Hsu H.
Wang J.
[J]. Review of Quantitative Finance and Accounting, 2004, 23 (2) : 167 - 184
[6] Tax Effects on the Pricing of Australian Stock Index Futures
Cummings, James Richard
Frino, Alex
[J]. AUSTRALIAN JOURNAL OF MANAGEMENT, 2008, 33 (02) : 391 - 406
[7] TAXES AND THE PRICING OF STOCK INDEX FUTURES - EMPIRICAL RESULTS
CORNELL, B
[J]. JOURNAL OF FUTURES MARKETS, 1985, 5 (01) : 89 - 101
[8] The pricing of stock index futures spreads at contract expiration
Frino, A
McKenzie, MD
[J]. JOURNAL OF FUTURES MARKETS, 2002, 22 (05) : 451 - 469
[9] CHANGING VOLATILITY AND THE PRICING OF OPTIONS ON STOCK INDEX FUTURES
PARK, HY
SEARS, RS
[J]. JOURNAL OF FINANCIAL RESEARCH, 1985, 8 (04) : 265 - 274
[10] AN EMPIRICAL-EXAMINATION OF COMPOSITE STOCK INDEX FUTURES PRICING
SAUNDERS, EM
MAHAJAN, A
[J]. JOURNAL OF FUTURES MARKETS, 1988, 8 (02) : 211 - 228

← 1 2 3 4 5 →