American put-call parity arbitrage : Nikkei 225 index futures and options (intraday bid-ask quotation from Jan-Oct 2000).

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...

Full description

Saved in:
Bibliographic Details
Main Authors: Tan, Yew Yuan., Tay, Boon Kiang.
Other Authors: Kang, Joseph Choong Seok
Format: Final Year Project
Published: 2008
Subjects:
DRNTU::Business::Finance::Stock exchanges
Online Access:http://hdl.handle.net/10356/8223
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Nanyang Technological University
id sg-ntu-dr.10356-8223
record_format dspace
spelling sg-ntu-dr.10356-82232023-05-19T06:24:02Z American put-call parity arbitrage : Nikkei 225 index futures and options (intraday bid-ask quotation from Jan-Oct 2000). Tan, Yew Yuan. Tay, Boon Kiang. Kang, Joseph Choong Seok Nanyang Business School DRNTU::Business::Finance::Stock exchanges 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. 2008-09-24T07:18:46Z 2008-09-24T07:18:46Z 2001 2001 Final Year Project (FYP) http://hdl.handle.net/10356/8223 Nanyang Technological University application/pdf
institution Nanyang Technological University
building NTU Library
continent Asia
country Singapore
Singapore
content_provider NTU Library
collection DR-NTU
topic DRNTU::Business::Finance::Stock exchanges
spellingShingle DRNTU::Business::Finance::Stock exchanges
Tan, Yew Yuan.
Tay, Boon Kiang.
American put-call parity arbitrage : Nikkei 225 index futures and options (intraday bid-ask quotation from Jan-Oct 2000).
description 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.
author2 Kang, Joseph Choong Seok
author_facet Kang, Joseph Choong Seok
Tan, Yew Yuan.
Tay, Boon Kiang.
format Final Year Project
author Tan, Yew Yuan.
Tay, Boon Kiang.
author_sort Tan, Yew Yuan.
title American put-call parity arbitrage : Nikkei 225 index futures and options (intraday bid-ask quotation from Jan-Oct 2000).
title_short American put-call parity arbitrage : Nikkei 225 index futures and options (intraday bid-ask quotation from Jan-Oct 2000).
title_full American put-call parity arbitrage : Nikkei 225 index futures and options (intraday bid-ask quotation from Jan-Oct 2000).
title_fullStr American put-call parity arbitrage : Nikkei 225 index futures and options (intraday bid-ask quotation from Jan-Oct 2000).
title_full_unstemmed American put-call parity arbitrage : Nikkei 225 index futures and options (intraday bid-ask quotation from Jan-Oct 2000).
title_sort american put-call parity arbitrage : nikkei 225 index futures and options (intraday bid-ask quotation from jan-oct 2000).
publishDate 2008
url http://hdl.handle.net/10356/8223
_version_ 1770565501658857472

Similar Items