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How to Make a Risk-free Profit: Arbitrage in the OMX-Index Options Market
Stockholm University, Faculty of Social Sciences, School of Business.
Stockholm University, Faculty of Social Sciences, School of Business.
2002 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

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.

Place, publisher, year, edition, pages
2002.
National Category
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-3558OAI: oai:DiVA.org:su-3558DiVA: diva2:192881
Uppsok
samhälle/juridik
Available from: 2007-01-05 Created: 2007-01-05

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Citation style
  • apa
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