Elsevier < Decision Sciences Publications < Handbooks in Operations Research and Management Science < Volume 9: Finance < Chapter 10

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.

 Complete chapters on ScienceDirect

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