On the valuation of 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%3A86095459" target="_blank" >RIV/61989100:27510/15:86095459 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
On the valuation of the arbitrage opportunities
Original language description
In this paper, we present different approaches 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. Then, we examine the nonnegativity of the state price density. We evaluate the effectiveness of the proposed approaches by an empirical analysis on S&P 500 index options data. Moreover, we propose alternative approaches to estimate the state price density under the classical hypothesis of the Black and Scholes model. To this end, we use the classical nonparametric estimator based on kerneland a recent alternative the so called OLP estimator that uses a different approach to evaluate the conditional expectation consistently.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
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
Article name in the collection
Financial Management of Firms and Financial Institutions : 10th international scientific conference : 7th - 8th September 2015, Ostrava, Czech Republic : proceedings. [Part I - IV]
ISBN
978-80-248-3865-6
ISSN
2336-162X
e-ISSN
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Number of pages
8
Pages from-to
582-589
Publisher name
VŠB - Technical University of Ostrava
Place of publication
Ostrava
Event location
Ostrava
Event date
Sep 7, 2015
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
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