Arbitrage Trading and Index Option Trading at Soffex: an Empirical Study Using Daily and Intradaily Data

Marc Chesney; Rajna Gibson; Henri Loubergé

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Arbitrage Trading and Index Option Trading at Soffex: an Empirical Study Using Daily and Intradaily Data

(1) , ,

1

Marc Chesney

Function : Author

Groupement de Recherche et d'Etudes en Gestion à HEC

Rajna Gibson

Function : Author

Henri Loubergé

Function : Author

Keywords

Arbitrage Trading Index Option Trading Soffex Daily Data Intradaily Data

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Humanities and Social Sciences Economics and Finance Economy and decision science

Antoine Haldemann : Connect in order to contact the contributor

https://hal-hec.archives-ouvertes.fr/hal-00607604

Submitted on : Saturday, July 9, 2011-10:20:13 PM

Last modification on : Saturday, June 25, 2022-10:52:28 AM

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hal-00607604 , version 1 (09-07-2011)

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HAL Id : hal-00607604 , version 1

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Marc Chesney, Rajna Gibson, Henri Loubergé. Arbitrage Trading and Index Option Trading at Soffex: an Empirical Study Using Daily and Intradaily Data. 1995. ⟨hal-00607604⟩

Arbitrage Trading and Index Option Trading at Soffex: an Empirical Study Using Daily and Intradaily Data

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