Alternative methods to evaluate the arbitrage opportunities
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F15%3A86095457" target="_blank" >RIV/61989100:27510/15:86095457 - isvavai.cz</a>
Result on the web
<a href="http://www.wseas.org/multimedia/journals/economics/2015/a805807-092.pdf" target="_blank" >http://www.wseas.org/multimedia/journals/economics/2015/a805807-092.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
Alternative methods to evaluate the arbitrage opportunities
Original language description
In this paper, we present alternative methods to evaluate the presence of the arbitrage opportunities in the market. In particular, we investigate empirically the well-known put-call parity no-arbitrage relation and the state price density. First, we measure the violation of the put call parity as the difference in implied volatilities between call and put options that have the same strike price, the same maturity and the same underlying asset. Then, we examine the nonnegativity of the state price density since its negative values immediately correspond to the possibility of free-lunch in the market. We evaluate the effectiveness of the proposed approaches by an empirical analysis on S&P 500 index options data. Moreover, we propose different approachesto estimate the state price density under the classical hypothesis of the Black and Scholes model. In this context, we use two different methodologies to evaluate the conditional expectation and its relationship with the state price dens
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
WSEAS Transactions on Business and Economics
ISSN
1109-9526
e-ISSN
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Volume of the periodical
12
Issue of the periodical within the volume
39
Country of publishing house
GR - GREECE
Number of pages
10
Pages from-to
416-425
UT code for WoS article
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EID of the result in the Scopus database
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