EDDIE for Discovering Arbitrage Opportunitiesa
نویسندگان
چکیده
The prices of the option and futures of a stock both reflect the market’s expectation of futures trends of the stock’s price. Their prices normally align with each other within a limited window. When they do not, arbitrage opportunities arise: an investor who spots the misalignment will be able to buy (sell) options on one hand, and sell (buy) futures on the other and make risk-free profits. In this paper, we focus on put-callfutures parity arbitrage opportunities. The upper bound of a futures bid price, denoted by Fbt, is given by:
منابع مشابه
Chance Discovery in Stock Index Option and Futures Arbitrage
The prices of the option and futures of a stock both reflect the market’s expectation of futures changes of the stock’s price. Their prices normally align with each other within a limited window. When they do not, arbitrage opportunities arise: an investor who spots the misalignment will be able to buy (sell) options on one hand, and sell (buy) futures on the other and make risk-free profits. H...
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