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Finns det möjlighet till arbitrage på VINX30 aktieindexoptioner?: en empirisk undersökning
University of Skövde, School of Technology and Society.
University of Skövde, School of Technology and Society.
2008 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [sv]

Optioner är ett instrument som investerare kan använda för att spekulera i framtida upp-eller nedgångar på olika tillgångar. Om dessa optioner är felprissatta finns det möjlighet att göra riskfria vinster med hjälp av Stolls köp-säljparitet. Tidigare studier visar att marknaden inte alltid är effektiv i sin prissättning av aktieindexoptioner och att det därigenom finns möjlighet till arbitrage. Denna studie undersöker huruvida marknaden är effektiv i sin prissättning av VINX30 aktieindexoptioner, d.v.s. finns det möjlighet till arbitrag på VINX30 aktieindexoptioner?

Abstract [en]

Options are an instrument which investors can use to speculate in future pricemovements on different assets. If these options are misspriced there are an opportunity to get riskfree profit by using Stolls put-call parity. Earlier research shows that the market sometimes is inefficient when pricing stock index options allowing arbitrage. This study investigate whether the market is efficient in the pricing of VINX30 stock index options, i.e. are there arbitrage opportunities on VINX30 stock index options?

Place, publisher, year, edition, pages
2008. , 26 p.
Keyword [en]
Market efficiency; arbitrage; put-call parity
Keyword [sv]
Effektiva marknader; arbitrage; köp-säljparitet
National Category
Economics
Identifiers
URN: urn:nbn:se:his:diva-2276OAI: oai:DiVA.org:his-2276DiVA: diva2:54500
Presentation
(English)
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2008-10-30 Created: 2008-10-16 Last updated: 2009-11-18Bibliographically approved

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File name FULLTEXT01.pdfFile size 217 kBChecksum SHA-512
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Type fulltextMimetype application/pdf

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CiteExportLink to record
Permanent link

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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