Issue |
E3S Web Conf.
Volume 233, 2021
2020 2nd International Academic Exchange Conference on Science and Technology Innovation (IAECST 2020)
|
|
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Article Number | 01169 | |
Number of page(s) | 5 | |
Section | NESEE2020-New Energy Science and Environmental Engineering | |
DOI | https://doi.org/10.1051/e3sconf/202123301169 | |
Published online | 27 January 2021 |
The application of the improved option parity arbitrage model in SSE 50ETF option
School of Economics and Management Beijing Jiaotong University Beijing, China
* Corresponding author: 19120497@bjtu.edu.cn
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.
© The Authors, published by EDP Sciences 2021
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