FINANCE
Edited by R.A. Jarrow, V. Maksimovic and W.T. Ziemba
CHAPTER 10
Program Trading and Stock Index Arbitrage
L. Canina and S. Figlewski
1. Introduction*
2. Stock index futures contracts and program trading
3. Stock index arbitrage in theory
4. Empirical evidence on index futures pricing
5. Program trading and volatility
6. Conclusions
Acknowledgements
References
* The first two pages of the chapters are available as PDF file.
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