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...
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| Main Authors: | , |
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| Other Authors: | |
| Format: | Final Year Project |
| Published: |
2008
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/8223 |
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| Institution: | Nanyang Technological University |
| Summary: | 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 constraint. |
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