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The Box Spread Arbitrage Conditions: Theory, Tests, and Investment Strategies

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Author Info
Ronn, Aimee Gerbarg
Ronn, Ehud I
Abstract

This paper develops and tests arbitrage bounds for a combination of two option spread positions known as a box spread. This strategy involves the simultaneous use of four options and creates a position that is equivalent to riskless lending. The no-arbitrage conditions are compared to existing arbitrage bounds and are tested using Chicago Board Options Exchange data. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.

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Publisher Info
Article provided by Oxford University Press for Society for Financial Studies in its journal Review of Financial Studies.

Volume (Year): 2 (1989)
Issue (Month): 1 ()
Pages: 91-108
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Handle: RePEc:oup:rfinst:v:2:y:1989:i:1:p:91-108

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  1. Lucy F. Ackert & Yisong S. Tian, 1999. "Efficiency in index options markets and trading in stock baskets," Working Paper 99-5, Federal Reserve Bank of Atlanta. [Downloadable!]
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