William W.Wilson and Hung -Gay Fung.Put-Call Parity and ArbitrageBounds for Options on Grain Futures [J].American Journal of AgriculturalEconomics, Vol.73, No.1,(Feb.,1991).William W.Wilson,Hung-Gay Fung. Put-Call Parity and ArbitrageBounds for Options on Grain Futures[J].Ametican ...
The convenience yield is simply the rate differential between a non-arbitrage futures and spot price and a real-life fair market value of the futures price. 158. B2ConvertibleBondAmerican Computes the value of an American convertible bond using binomial lattices, and accounting for the stock’s v...
1% and 2% per annum with continuous compounding. The spot price of the Swiss franc is $1.0500. The futures price for a contract deliverable in two months is also $1.0500. What arbitrage opportunities does this create?
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...
The HSI futures and options provide investors with a set of effective instruments to manage portfolio risk and to capture index arbitrage opportunities. The popularity of Hang Seng Index futures and options has developed gradually with increasing domestic and international investors' participation. Proven...
In my experience futures traders tend to be short-term oriented, opting to hold trades for hours to a few days. Equity market traders tend to trade for longer time frames. One reason futures traders are more speculative may be due to margin requirements, which are often a drain on smaller...
options on stocks that you own in order to hedge against a small drop in price on the underlying stock and a protective put is when you buy put options as protection on stocks that you own. At this level, options traders are not able to buy call options or put options without first ...
Put-call parity states that simultaneously holding a short put and long European call of the same class will deliver the same return as holding one forward contract on the same underlying asset with the same expiration and a forward price equal to the option's strike price. An arbitrage opport...
The pricing discrepancy between the price of the cash security and that of the fixed-income futures is the basis basis = spot cash price - the futures price * conversion factor 一般no-arbitrage下basis是0;若basis 为负,即证券的现金价值低于其对应的期货价格,就 ...
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