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 |
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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 |
| _version_ | 1828887609679544320 |
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| author | Xu Liu |
| author_facet | Xu Liu |
| author_sort | Xu Liu |
| collection | DOAJ |
| description | 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 effective options arbitrage strategies and practices them. Based on the theory of option parity arbitrage and taking into account the transaction costs, this paper establishes an effective option arbitrage strategy model and puts it into practice. The results show that there are indeed arbitrage opportunities in the market that exceed the risk-free rate of return, but there are not many such opportunities, and there is not much arbitrage space under many opportunities. This is not only the embodiment of high market efficiency, but also the result of taking various transaction costs into full consideration in this paper to ensure the effectiveness of arbitrage. |
| first_indexed | 2024-12-13T12:07:43Z |
| format | Article |
| id | doaj.art-eeb9fa3df0824a1f9af6089d30a3fb88 |
| institution | Directory Open Access Journal |
| issn | 2267-1242 |
| language | English |
| last_indexed | 2024-12-13T12:07:43Z |
| publishDate | 2021-01-01 |
| publisher | EDP Sciences |
| record_format | Article |
| series | E3S Web of Conferences |
| spelling | doaj.art-eeb9fa3df0824a1f9af6089d30a3fb882022-12-21T23:46:55ZengEDP SciencesE3S Web of Conferences2267-12422021-01-012330116910.1051/e3sconf/202123301169e3sconf_iaecst20_01169The application of the improved option parity arbitrage model in SSE 50ETF optionXu Liu0School of Economics and Management Beijing Jiaotong University BeijingThe 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 effective options arbitrage strategies and practices them. Based on the theory of option parity arbitrage and taking into account the transaction costs, this paper establishes an effective option arbitrage strategy model and puts it into practice. The results show that there are indeed arbitrage opportunities in the market that exceed the risk-free rate of return, but there are not many such opportunities, and there is not much arbitrage space under many opportunities. This is not only the embodiment of high market efficiency, but also the result of taking various transaction costs into full consideration in this paper to ensure the effectiveness of arbitrage.https://www.e3s-conferences.org/articles/e3sconf/pdf/2021/09/e3sconf_iaecst20_01169.pdf |
| spellingShingle | Xu Liu The application of the improved option parity arbitrage model in SSE 50ETF option E3S Web of Conferences |
| title | The application of the improved option parity arbitrage model in SSE 50ETF option |
| title_full | The application of the improved option parity arbitrage model in SSE 50ETF option |
| title_fullStr | The application of the improved option parity arbitrage model in SSE 50ETF option |
| title_full_unstemmed | The application of the improved option parity arbitrage model in SSE 50ETF option |
| title_short | The application of the improved option parity arbitrage model in SSE 50ETF option |
| title_sort | application of the improved option parity arbitrage model in sse 50etf option |
| url | https://www.e3s-conferences.org/articles/e3sconf/pdf/2021/09/e3sconf_iaecst20_01169.pdf |
| work_keys_str_mv | AT xuliu theapplicationoftheimprovedoptionparityarbitragemodelinsse50etfoption AT xuliu applicationoftheimprovedoptionparityarbitragemodelinsse50etfoption |