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The pricing of futures and options contracts on the value line index

Article Abstract:

Approximately 1,700 stocks comprise a weighted geometric average index of equally weighted securities, known as the Value Line Composite Index (VLCI). The VLCI contracts related to its futures market (established in 1982) and its options market (established in 1985) are analyzed in an effort to develop valuation formulas. Various properties of the VLCI markets are demonstrated by the analysis, including the short-fall of futures prices, compared to spot prices, caused by increasing index volatility, that also results in call options' declining.

Author: Eytan, T. Hanan, Harpaz, Giora
Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1986
Stock options, Financial futures

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The intertemporal relation between the U.S. and Japanese stock markets

Article Abstract:

This paper finds a high correlation between the open to close returns for U.S. stocks in the previous trading day and the Japanese equity market performance in the current period. In contrast, the Japanese market has only a small impact on the U.S. return in the current period. High correlations among open to close returns are a violation of the efficient market hypothesis; however, in trading simulations, the excess profits in Japan vanish when transactions costs and transfer taxes are included. (Reprinted by permission of the publisher.)

Author: Becker, Kent G., Finnerty, Joseph E., Gupta, Manoj
Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 1990
Tokyo Stock Exchange, New York Stock Exchange Inc.

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The finite moment log stable process and option pricing

Article Abstract:

The development of a pricing model to examine the pricing pattern of Standard and Poor's 500 index options is discussed.

Author: Carr, Peter, Wu, Liuren
Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 2003
United States, Commodity & service prices, Pricing Policy, Models, Pricing, Company pricing policy, Product price

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Subjects list: Research, Prices and rates, Stocks, Options (Finance), Stock prices, Efficient market theory, Stock index options
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