A Study of Arbitrage Opportunities between Taiwan Index Futures and Options with Present Value of Transaction Costs
碩士 === 國立高雄第一科技大學 === 財務管理所 === 93 === In consideration of the present value of transaction costs, we used the put-call-futures parity theory to find the lower and upper boundaries for futures and investigate the arbitrage opportunities between index futures and options markets. The intraday data of...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/48529744590802670682 |