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Keywords: Debit Box Spreads
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2006) 14 (2): 109–137.
Published: 30 November 2006
... and large discrepancy in exercise prices. respectively. In the case of credit box spreads, there were 681 (2%) and 2.293 (6%) arbitrage observations for small and large discrepancies, while debit box spreads showed 831 (2%) and 3.098 (8%) observations for small and large discrepancies. In general, mean...
