How to Make a Risk-free Profit: Arbitrage in the OMX-Index Options Market
Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
This paper examines arbitrage opportunities in OMX-index options using daily closing prices between the years 1990 to 2001. The non-arbitrage conditions examined are lower boundary and put-call parity. The lower boundary condition is seldom violated, indicating good market efficiency. Put-call parity is however violated substantially and is therefore examined more thoroughly with the use of regression analysis against the variables time to maturity, moneyness, volatility in the OMX-index, trading activity, call spread and put spread.
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IdentifiersURN: urn:nbn:se:su:diva-3558OAI: oai:DiVA.org:su-3558DiVA: diva2:192881