The application of the improved option parity arbitrage model in SSE 50ETF option
The SSE 50ETF option is China's first stock index option product launched in 2015. For a number of reasons, the options market can sometimes create arbitrage opportunities. Based on the theory of option parity arbitrage and taking into account the transaction costs, this paper explores effectiv...
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Format: | Article |
Language: | English |
Published: |
EDP Sciences
2021-01-01
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Series: | E3S Web of Conferences |
Online Access: | https://www.e3s-conferences.org/articles/e3sconf/pdf/2021/09/e3sconf_iaecst20_01169.pdf |