ARBITRAGE IN REAL TRADING MARKETS AND HEDGING

Peter Joakim Westerholm

Chapter 9 in Lecture Notes in Market Microstructure and Trading, 2019, pp 141-147 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:ArbitrageDoes Pure Arbitrage Exist?Pairs Trading and Stat-ArbRecap of Teall Chapter 6 — Limits to ArbitrageDerivative Securities Markets and HedgingPut-Call ParityOptions and Hedging in a Binomial EnvironmentValuing the One-Period Option — Extending the Binomial Model to Two PeriodsTwo Time Periods — Extending the Binomial Model to n Time Periods Illustration: Three Time PeriodsConvergence of the Binomial Model to the Black–Scholes ModelThe Greeks and Hedging in a Black–Scholes EnvironmentDelta Neutral HedgingExample Real Option PricesExample Real Option PricesRecap Chapter 6: Implied Volatilities

Keywords: Trading; Securities Markets; Priced Discovery; Liquidity; Microstructure; Investments (search for similar items in EconPapers)
JEL-codes: F10 (search for similar items in EconPapers)
Date: 2019
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