Tests of options market efficiency : a study of the European Options Exchange
The objective of this study is to provide evidence on the efficiency of the stock options market of the European Options Exchange. `Riskless' spreading and hedging strategies using the Black-Scholes call option pricing model with the Merton dividend adjustment, are used to test market efficienc...
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University of Glasgow
1990
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.240097 |