A Research of Hedge and Arbitration Model for the Cross-markets Future and Options

• Main Authors: Kuo-Jen Chu, 朱國仁
• Other Authors: Kuang-Hua Hsu
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/28442363964797786028

碩士 === 朝陽科技大學 === 財務金融系碩士班 === 92 === For the past researches, like Tucker(1991), anticipated to find the pricing theory of multiple assets allocation between futures and options. The theory is put-call-futures parity. Because Tucker’s model can’t to provide the investors extraordinary investment decision and calculation the balance of call and put options anticipant surplus or loss Problem in time. According the practice, apply financial derivatives in there are underlying asset、last trading day and settlement price is same at the settlement day. This research try to create an appropriate hedge and arbitration model for the cross markets future and options formula to solution those problem. We have examined the put-call-futures parity relationship between futures and options contracts written on Taiwan Stock Exchange Capitalization Weighted Stock Index with ours formula during the period March 2004. After accounting for these factors that affect the traditional efficiency of derivative markets (transaction costs, electric trades and next minute.), we find that the number of potential arbitrage opportunities declines with increase in transaction cost and in the arbitrage opportunity is exists to operation can’t complete to avoid the risk.