Arbitrage Using Put-Call Parity : An empirical studie of OMXS30 index options

Detta är en Kandidat-uppsats från Högskolan i Skövde/Institutionen för teknik och samhälle; Högskolan i Skövde/Institutionen för teknik och samhälle

Författare: Niclas Björnesjö; Mattias Olsson; [2010]

Nyckelord: Arbitrage; Efficient markets; Put-call parity; Transaction costs;

Sammanfattning:

In this paper, we have examined whether it is possible to make arbitrage profits on OMXS30 index options. We used the Put-call parity formula and performed a regression analysis to test our hypothesis. We find that it is impossible for a private investor to make new additional arbitrage profits on OMXS30 index options. Large institutions may find arbitrage opportunities, even though it is not certain that they will always make a profit from it. Thus our conclusions are that the OMXS30 is a highly efficient market, and will become even more efficient in the future as computerized trading develops.

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