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

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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.

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Bibliographic Info

Paper provided by Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland in its series DQE Working Papers with number 8.

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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.
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Keywords: Options sur indice; tests d’arbitrage; borne inférieure; parité put-call;

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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.
  2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  3. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
  4. Kamara, Avraham & Miller, Thomas W., 1995. "Daily and Intradaily Tests of European Put-Call Parity," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(04), pages 519-539, December.
  5. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
  6. Brunetti, Marianna & Torricelli, Costanza, 2005. "Put-call parity and cross-markets efficiency in the index options markets: evidence from the Italian market," International Review of Financial Analysis, Elsevier, vol. 14(5), pages 508-532.
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