Because options arbitrage work on the basis of differences in the relative value of one option against another, it is known as "relative value arbitrage". Rather than simply buying and selling securities simultaneously in order to perform an arbitrage trade as in stock arbitrage, options arbitrage...
Li, S., and E. Alfay. 2006. Evidence on the arbitrage efficiency of SPI index futures and options markets. Asia-Pacific Financial Markets 13: 71-93.Steven Li & Elia Alfay. 2005. Evidence on the arbitrage efficiency of SPI index futures and options markets. The Accounting and Finance ...
Valuing Futures, Forward and Options on the Stock Index Volatility in a General Equilibrium This chapter focuses on volatility derivatives, like futures and options on a volatility index, and their arbitrage-free valuation. It illustrates the valu... 김병수,김인준,김동석 被引量:...
摘要: This text delves into the world of options on futures and shows how to gain the extra edge needed to improve the odds of gaining a winning position. It uses non-technical language, avoiding Greek symbols and approaches options pricing from a hands-on point of view....
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...
Hull 201212Arbitrage Opportunitiesc= 3S0= 31 T = 0.25 r = 10% K =30 D = 0Early ExerciseUsually there is some chance that an American option will be exercised earlyAn exceptio 10、n is an American call on a non-dividend paying stockThis should never be exercised earlyOptions, Futures, ...
The put-call-futures and put-call-index pa... Vipul - 《Journal of Futures Markets》 被引量: 28发表: 2008年 Put-Call Parity and Arbitrage Bounds for Options on Grain Futures Many arbitrage opportunities have become available for market participants since the inception of trading in options. ...
1. Futures, Options and other derivatives--by John Hull. 这本书不用多说了,买就是了。不管是找工作还是senior quant都会用到。John Hull 也是非常厉害的,各个方面都有开创性的成果。现在Toronto Uni. 2. Arbitrage theory in continuous time--by Tomas Bjork 这本书.
Futures pricing is intuitively easy to understand. Under the cost-of-carry pricing model, the futures price should be the same as the current spot price plus the cost of carrying or storing the underlying asset until the maturity of the futures contract. Arbitrage activity will occur and rectify...
A number of studies on the S&P 500 index options market claim that the no-arbitrage assumption cannot be rejected for this market because either the martin... Biao,Guo,Qian,... - 《Journal of Futures Markets》 被引量: 9发表: 2013年 On the Importance of the Traders' Rules for Pricing ...