High Frequency Trading on Futures Put Call Parity Arbitrage
碩士 === 輔仁大學 === 金融與國際企業學系金融碩士在職專班 === 102 === Based on Tucker’s (1991) put-call-futures parity, this thesis conducts an empirical analysis of arbitrage considering trading costs at different trading frequencies. It is found that arbitrage opportunities and profits exist in the futures and options ma...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/56918811986971742476 |