Alternative methods to evaluate the arbitrage opportunities

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

Alternative methods to evaluate the arbitrage opportunities

Popis výsledku v původním jazyce

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

Název v anglickém jazyce

Alternative methods to evaluate the arbitrage opportunities

Popis výsledku anglicky

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

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2015

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

WSEAS Transactions on Business and Economics

ISSN

1109-9526

e-ISSN

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Svazek periodika

12

Číslo periodika v rámci svazku

39

Stát vydavatele periodika

GR - Řecká republika

Počet stran výsledku

10

Strana od-do

416-425

Kód UT WoS článku

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EID výsledku v databázi Scopus

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