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

• 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
• Institution: Nanyang Technological University

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...