A Study of Arbitrage Opportunities between Taiwan Index Futures and Taiwan Index Options Markets
碩士 === 輔仁大學 === 金融研究所 === 91 === This thesis employs the Put-Call-Futures Parity to investigate the joint pricing efficiency of Taiwan Index Futures and Taiwan Index Options markets during the period of May 2002 to Apr 2003. After taking into account transaction costs, opportunity cost of margins,...
| Main Authors: | , |
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2003
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| Online Access: | http://ndltd.ncl.edu.tw/handle/30684095030815240295 |