his.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Arbitrage Using Put-Call Parity: An empirical studie of OMXS30 index options
University of Skövde, School of Technology and Society.
University of Skövde, School of Technology and Society.
2010 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

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.

Place, publisher, year, edition, pages
2010. , 21 p.
Keyword [en]
Arbitrage, Efficient markets, Put-call parity, Transaction costs
National Category
Economics
Identifiers
URN: urn:nbn:se:his:diva-4444OAI: oai:DiVA.org:his-4444DiVA: diva2:359584
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2010-11-01 Created: 2010-10-28 Last updated: 2010-11-01Bibliographically approved

Open Access in DiVA

fulltext(874 kB)5120 downloads
File information
File name FULLTEXT01.pdfFile size 874 kBChecksum SHA-512
24e3006704bbc8acb386e5d07f4f5084f9297d124fb6a9484fcc217cbb54e52f794e6406eea5ade081b29f0cc0942dbd419c44f458370a248246ab74967c5b0a
Type fulltextMimetype application/pdf

By organisation
School of Technology and Society
Economics

Search outside of DiVA

GoogleGoogle Scholar
Total: 5120 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Total: 286 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf