Migration of Price Discovery With Constrained Futures Markets

Preprint OPEN
Anthony D. Hall; Paul Kofman; Steve Manaster;
  • Subject: option implied density; price limits
    • jel: jel:G13

This paper investigates the information content of futures option prices when the futures price is regulated while the futures option price itself is not. The New York Board of Trade provides the empirical setting for this type of dichotomy in regulation. Most commodity... View more
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