MARGINS AND MARKET INTEGRITY - MARGIN SETTING FOR STOCK INDEX FUTURES AND OPTIONS

被引：68

作者：

FIGLEWSKI, S

机构：

来源：

关键词：

D O I：

10.1002/fut.3990040307

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：385 / 416

页数：32

共 31 条

ANDERSON, TW .

ANNALS OF MATHEMATICAL STATISTICS, 1960, 31 (01) :165-197

[2]

BEAR R, 1972, J FINANCIAL QUAN SEP, P1907

[3] ON THE DYNAMIC BEHAVIOR OF PRICES IN DISEQUILIBRIUM [J].

BEJA, A ;

GOLDMAN, MB .

[4] PRICING OF COMMODITY CONTRACTS [J].

BLACK, F .

[5] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].

BLACK, F ;

SCHOLES, M .

[6]

*CHIC BOARD TRAD, 1983, CHIC MAR EXCH COFF S

[7]

COHEN J, 1966, J FINANCIAL QUANTITA, V1

[8]

ECKARDT W, 1976, J FINANCE, V31

[9]

FAMA E, 1966, J BUSINESS S, V39

[10] EFFICIENT CAPITAL MARKETS - REVIEW OF THEORY AND EMPIRICAL WORK [J].

FAMA, EF .