Home » Authors » Laurent Deville, Fabrice Riva

Laurent Deville, Fabrice Riva

Public reference bibliography and cataloged PDF materials authored or published by Laurent Deville, Fabrice Riva.

Found 1 document(s) Page 1 of 1

Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach

Year: 2007 • Source: hal.science • Listed PDF

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 mark...