English, Article, Journal or magazine article edition: Tests d’arbitrage sur options: une analyse empirique des cotations de market-makers David Ardia

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/161921
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Tests d’arbitrage sur options: une analyse empirique des cotations de market-makers
Author
  • David Ardia
Physical Description
  • preprint
Notes
  • Cet article analyse les opportunités d’arbitrage sur le marché des options ODAX dans un cadre intra-journalier. Les tests d’arbitrage se basent sur la borne inférieure de prix et sur la relation de parité put-call. Pour éliminer le biais de synchronisation et tenir compte des frais de transaction, la méthodologie considère le future comme sous-jacent ainsi que la fourchette de prix. Les résultats montrent de très faibles taux de violation des conditions de non-arbitrage. De plus, les gains d’arbitrages résiduels ne constituent pas de gains substantiels pour les market-makers.
  • Options sur indice; tests d’arbitrage; borne inférieure; parité put-call
  • RePEc:fri:dqewps:wp0008
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment