American put-call parity arbitrage : Nikkei 225 index futures and options (intraday bid-ask quotation from Jan-Oct 2000).
Various studies were conducted to the index arbitraging. Our study on Nikkei 225 arbitraging based on put-call parity has no precedent. We concluded that arbitrage opprtunity in Nikkei 225 index derivatives market in SGX-DT is limited after taken into consideration of the practical trading constrain...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Published: |
2008
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/8223 |