| Creators: |
Steurer, Elmar and Fahling, Ernst J. and Du, Jiali |
| Title: |
Empirical Analysis of Potential Put-Call Parity Arbitrage Opportunities with Particular Focus on the Shanghai Stock Exchange 50 Index |
| Item Type: |
Article or issue of a publication series |
| Projects: |
Projekt intrinsische Publikationen |
| Journal or Series Title: |
Journal of Financial Risk Management |
| Page Range: |
pp. 66-78 |
| Additional Information: |
Open access |
| Date: |
29 January 2022 |
| Divisions: |
Wirtschaftswissenschaften |
| Abstract (ENG): |
Put-Call-Parity is a major cornerstone of the option pricing theory. The equ
ation provides an answer to the equilibrium of the option market. It tells us
what the right call option price should be assuming put price, actual stock
price, risk free rate and maturity. The call price depends on these parameters.
No arbitrage opportunities are possible if the equilibrium equation is met. In
financially well developed countries and regions the put-call-parity holds and
allows no arbitrage opportunities except in abnormal market conditions. This
paper aims to analyse the put-call-parity in China for a certain period of time.
It reviews if arbitrage opportunities can be identified. It shows that the put-
call-parity dominates the option market in China as well despite shorter pe
riods in the development of the financial markets and allows no arbitrage
opportunities. |
| Forthcoming: |
No |
| Language: |
English |
| Uncontrolled Keywords: |
Put-Call-Parity, Put-Call-Arbitrage, Volatility Indices, Volatility Smile,
Volatility Trading |
| Link eMedia: |
Download |
| Citation: |
Steurer, Elmar and Fahling, Ernst J. and Du, Jiali
(2022)
Empirical Analysis of Potential Put-Call Parity Arbitrage Opportunities with Particular Focus on the Shanghai Stock Exchange 50 Index.
Journal of Financial Risk Management, 11 (1).
pp. 66-78.
ISSN 2167-9541
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