1989
DOI: 10.3905/jpm.1989.409188
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Replication of long-term with short-term options

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Cited by 7 publications
(2 citation statements)
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“…It was also suggested that LEAPS would appeal to investors with longer horizons. 4 Long-term options can be replicated with a complex combination of short-term options and money-market securities, but Choie and Novomestky (1989) find that replication is expensive in terms of transaction costs. To date, LEAPS have only been introduced on firms upon which exchange-listed short-term options are currently trading.…”
Section: The Introduction Of Leapsmentioning
confidence: 99%
“…It was also suggested that LEAPS would appeal to investors with longer horizons. 4 Long-term options can be replicated with a complex combination of short-term options and money-market securities, but Choie and Novomestky (1989) find that replication is expensive in terms of transaction costs. To date, LEAPS have only been introduced on firms upon which exchange-listed short-term options are currently trading.…”
Section: The Introduction Of Leapsmentioning
confidence: 99%
“…9. For example, Choie and Novomestky (1989) investigate the replication of long-term with short-term options. 10.…”
Section: The Simulation Modelmentioning
confidence: 99%