and Bhatt, R., 2007, Arbitrage opportunities in intraday trading between futures, options and cash market - cash study on NSE India, Institute of Capital MarketsHiren M Maniar,Dharmesh M Maniyar,Dr Rajesh Bhatt.Arbitrage Opportunities in Intraday Trading between Futures.Options and Cash Markets:...
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This paper adds to the literature by investigating the arbitrage profitability of American index options—the Nikkei 225 index futures options traded on the Singapore Stock Exchange (SGX). Using the real-time bid–ask prices, we find evidence of profitable arbitrage opportunities, while the frequency...
In futures and options markets, if market imperfection or market inefficiency exists, the phenomenon of mispricing can easily occur, creating a price difference between commodities or underlying products (price spread), thereby often leading to the rise of arbitrage opportunities. This phenomenon is mor...
The market spread, limit orders, and options In this article the determinants of the quoted market spread of options are analyzed. The empirical model is based on an extension of the Ho and Stoll mode... H Berkman - 《Journal of Financial Services Research》 被引量: 35发表: 1993年 Share...
The volatility risk premium (VRP) represents the difference between the implied volatility of options and the realized volatility of the underlying asset. Reference [1] examines the asymmetry in the VRP. Specifically, it investigates the VRP during the day and overnight sessions. The research was ...
Important relationships among the futures, options, bonds, stocks, and currency markets exist, which if violated signal an arbitrage opportunity. One such relationship, called interest rate parity, links the future and spot (current) markets of a currency to the interest rate differential between ...
The problem with dividend arbitrage, like allarbitrage strategies, is that arbitrage conditions rarely exist long enough for most retail options traders to identify and take advantage of. In the case of dividend arbitrage, the situation where the cost of hedging (extrinsic value of put options + ...
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