Optimale Arbitragestrategien in Terminmärkten

Wolfgang Bühler and Alexander Kempf

No 94-10, ZEW Discussion Papers from ZEW - Leibniz Centre for European Economic Research

Abstract: Der folgende Beitrag analysiert das optimale Verhalten eines Investors, der Arbitrage zwischen Kassa- und Futuresmarkt betreibt. Gegenüber dem Standardmodell der cash & carry-Arbitrage wird der zulässige Strategieraum des Arbitrageurs erweitert, indem berücksichtigt wird, daß der Arbitrageur in der Vergangenheit eingegangene Arbitragepositionen jederzeit vor Fälligkeit glattstellen kann. ; The following article analyses the optimal arbitrage strategy of an investor in the spot and in the futures market. In contrast to the cost of carry model, the arbitrageur is not obliged to hold positions until maturity, but he may unwind arbitrage positions before maturity whenever it is favourable to hirn.

Date: 1994
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