Zobrazeno 1 - 10
of 583
pro vyhledávání: '"options arbitrage"'
Autor:
Figlewski, Stephen1
Publikováno v:
Journal of Finance (Wiley-Blackwell). Dec1989, Vol. 44 Issue 5, p1289-1311. 23p.
Autor:
Chidambaran, N.1 chiddi@rci.rutgers.edu
Publikováno v:
Review of Quantitative Finance & Accounting. Jan2007, Vol. 28 Issue 1, p101-122. 22p. 5 Charts, 3 Graphs.
Publikováno v:
Quantitative Finance. Apr2008, Vol. 8 Issue 3, p313-320. 8p. 6 Charts.
Publikováno v:
Journal of Financial Managment Perspective. 10:81-98
کارآیی بازار اختیار معامله به دلیل نقش موثری که در شفافسازی اطلاعات اقتصادی دارد و به خاطر تخصیص بهینه سرمایه که از آن ناشی میشود، اهم
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::60ff6ca8cb1fd68053bdb530c7ccdb96
https://doi.org/10.52547/jfmp.10.30.81
https://doi.org/10.52547/jfmp.10.30.81
Publikováno v:
Quantitative Finance. 8:313-320
Previous studies have examined the profitability of European index options arbitrage. This paper adds to the literature by investigating the arbitrage profitability of American index options—the Nikkei 225 index futures options traded on the Singap
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c043f2abc04cdbb5d6abb6f69952dd82
https://doi.org/10.1080/14697680701400671
https://doi.org/10.1080/14697680701400671
Autor:
N.K. Chidambaran
Publikováno v:
Review of Quantitative Finance and Accounting. 28:101-122
Discretely rebalanced options arbitrage strategies in the presence of transaction costs have path dependent returns that are difficult to model analytically. I instead use a quasi-analytic procedure that combines the computational efficiency of analy
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::99ca9e56189d82649bad7e86dbbda3b2
https://doi.org/10.1007/s11156-006-0005-8
https://doi.org/10.1007/s11156-006-0005-8
Autor:
LIAO,YI-JUN, 廖乙駿
104
Options spread arbitrage is established by combining bull and bear spread with different strike prices of calls and puts. In this study, we designed and built options spread arbitrages systems including box spread, butterfly spread, and cond
Options spread arbitrage is established by combining bull and bear spread with different strike prices of calls and puts. In this study, we designed and built options spread arbitrages systems including box spread, butterfly spread, and cond
Externí odkaz:
http://ndltd.ncl.edu.tw/handle/77421679738353577895
Autor:
Stephen Figlewski
Publikováno v:
Journal of Finance. 44(5):1289-1311
Option valuation models are based on an arbitrage strategy-hedging the option against the underlying asset and rebalancing continuously until expiration-that is only possible in a frictionless market. This paper simulates the impact of market imperfe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1d951c0be4f137564d14d0b6e61eb6b4
Publikováno v:
Investment Management & Financial Innovations, Vol 16, Iss 1, Pp 178-188 (2019)
This study provides an empirical analysis back-testing the implementation of a dispersion trading strategy to verify its profitability. Dispersion trading is an arbitrage-like technique based on the exploitation of the overpricing of index options, e
Externí odkaz:
https://doaj.org/article/e95127b55bd943fdb87fefdd441fa661
Publikováno v:
Investment Management & Financial Innovations, Vol 16, Iss 1, Pp 178-188 (2019)
This study provides an empirical analysis back-testing the implementation of a dispersion trading strategy to verify its profitability. Dispersion trading is an arbitrage-like technique based on the exploitation of the overpricing of index options, e
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3a69e5767a7079fb9ac083133f134881
https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/11650/IMFI_2019_01_Ferrari.pdf
https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/11650/IMFI_2019_01_Ferrari.pdf