Showing papers by "Marti G. Subrahmanyam published in 1989"
TL;DR: In this article, the authors examined the relation between the prices of Japanese stocks traded on the Tokyo Stock Exchange (TSE) as reflected in the Nikkei Stock Average (NSA) stock index and prices of the NSA futures contract traded on Singapore International Monetary Exchange (SIMEX).
96 citations
TL;DR: In this article, the authors examined the behavior of the first two futures contracts on Japanese stock price indices to be traded, the Nikkei Stock Average (NSA) contract on the Singapore International Monetary Exchange (SIMEX), and the Osaka Stock Futures 50 (OSF50), and found significant departures between the actual prices of the contracts and their fair prices in the early months of trading from June 1987 to June 1988.
16 citations
TL;DR: In this paper, the authors analyzed and compared the valuation of stock index options and stock index futures options and found that the difference in value depends on the differences between the dividend yield and interest rates.
Abstract: This paper analyzes and compares the valuation of stock index options and stock index futures options. The early exercise privilege plays a central role in explaining the differences between the values of the two options. It is shown that the difference in value depends on the differences between the dividend yield and interest rates. Using numerical procedures, we compute the options values and find that the difference in values is larger for longer maturities and in-the-money options.
7 citations