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dc.contributor.authorMorse, Joel N.
dc.date.accessioned2017-06-01T20:56:23Z
dc.date.available2017-06-01T20:56:23Z
dc.date.issued1988
dc.description.abstractThis paper examines the relation between the pricing of stock index futures contracts and the implied volatilities of index and individual equity options. For data from the 1986-1988 period, the difference between the implied volatility of calls and puts on the Standard and Poor's 100 index appears to be closely related to variation in the premium or discourse of the major U.S.-traded futures contracts. We construct an argument to support this observation. Reasons are also offered for the finding that index put volatilities exceed those for calls during the entire sample period.en_US
dc.format.extent10 pagesen_US
dc.genrejournal articlesen_US
dc.identifierdoi:10.13016/M2B273
dc.identifier.citationMorse, Joel N. "Index Futures and the Implied Volatility of Options," Review of Futures Markets, Vol. 7, No. 2, 1988, pp. 325-333en_US
dc.identifier.urihttp://hdl.handle.net/11603/3944
dc.language.isoen_USen_US
dc.publisherReview of Futures Marketsen_US
dc.relation.isAvailableAtUniversity of Baltimore
dc.titleIndex Futures and the Implied Volatility of Optionsen_US
dc.typeTexten_US


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