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Deville et al., 2007 - Google Patents

Liquidity and arbitrage in options markets: A survival analysis approach

Deville et al., 2007

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Document ID
828320516270516873
Author
Deville L
Riva F
Publication year
Publication venue
Review of Finance

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Snippet

This paper examines the determinants of the time it takes for an index options market to return to no arbitrage values after put-call parity deviations, using intraday transactions data from the French index options market. We employ survival analysis to characterize how …
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