OPTION EXPIRATIONS AND TREASURY BOND FUTURES PRICES

被引：6

作者：

BHATTACHARYA, AK

机构：

来源：

关键词：

D O I：

10.1002/fut.3990070106

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：49 / 64

页数：16

共 34 条

[1] THE TIME-PATTERN OF HEDGING AND THE VOLATILITY OF FUTURES PRICES [J].

ANDERSON, RW ;

DANTHINE, JP .

[2]

AVERY D, 1985, FUTURES, V14, P72

[3]

BLACK F, 1976, J FINANC ECON, V3, P161

[4]

Bodie Z., 1980, FINANCIAL ANAL J, V36, P27, DOI [10.2469/faj.v36.n3.27, DOI 10.2469/FAJ.V36.N3.27]

BORTZ, GA .

[6] CONSUMPTION RISK IN FUTURES MARKETS [J].

BREEDEN, DT .

[7] MEASURING SECURITY PRICE PERFORMANCE [J].

BROWN, SJ ;

WARNER, JB .

[8]

CHICHILNISKY G, 1984, IND ORG FUTURES MARK, P193

CORNELL, B .

[10] MARTINGALE, MARKET EFFICIENCY AND COMMODITY PRICES [J].

DANTHINE, JP .