EconPapers    
Economics at your fingertips  
 

Tests d’arbitrage sur options: une analyse empirique des cotations de market-makers

David Ardia

No 8, DQE Working Papers from Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland

Abstract: Cet article analyse les opportunités d’arbitrage sur le marché des options ODAX dans un cadre intra-journalier. Les tests d’arbitrage se basent sur la borne inférieure de prix et sur la relation de parité put-call. Pour éliminer le biais de synchronisation et tenir compte des frais de transaction, la méthodologie considère le future comme sous-jacent ainsi que la fourchette de prix. Les résultats montrent de très faibles taux de violation des conditions de non-arbitrage. De plus, les gains d’arbitrages résiduels ne constituent pas de gains substantiels pour les market-makers.

Keywords: Options sur indice; tests d’arbitrage; borne inférieure; parité put-call (search for similar items in EconPapers)
JEL-codes: G13 G14 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2007-07-26
New Economics Papers: this item is included in nep-cfn
Note: Working paper freely available with the permission of Banque et Marchés.
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Published in Banque et Marchés, 2007, no. 89, pp. 45-54.

Downloads: (external link)
http://doc.rero.ch/record/30837/files/WP_DQE_08.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fri:dqewps:wp0008

Ordering information: This working paper can be ordered from
http://doc.rero.ch/record/30837

Access Statistics for this paper

More papers in DQE Working Papers from Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland Bd de Pérolles 90, CH-1700 Fribourg. Contact information at EDIRC.
Bibliographic data for series maintained by Ivo raemy ().

 
Page updated 2020-09-18
Handle: RePEc:fri:dqewps:wp0008