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.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland in its series DQE Working Papers with number
8.
Length: 11 pages Date of creation: 26 Jul 2007 Date of revision: Publication status: Published in Banque et Marchés, 2007, no. 89, pp. 45-54. Handle: RePEc:fri:dqewps:wp0008
Note: Working paper freely available with the permission of Banque et Marchés. Contact details of provider: Postal: Bd de Pérolles 90, CH-1700 Fribourg Phone: +41 26 300 8272 Fax: +41 26 300 9781 Email: Web page: http://www.unifr.ch/dqe/ More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: (Michael Beer).
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.: