A Study of the Relation between Market Imperfect and Index Arbitrage
碩士 === 國立高雄第一科技大學 === 金融營運所 === 91 === In perfect markets, if the carrying cost is in a state of disequilibrium (that is, an actual futures price deviates from its theoretical value predicted by the cost of carry model), then index arbitrage can obtain a riskless profit by simply engaging arbitrage...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2003
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| Online Access: | http://ndltd.ncl.edu.tw/handle/36698103649932168407 |