{"title":"期权错误定价和套利机会","authors":"Jiaming Hu, Wei Huan, Yun Feng, Zhiyuan Simon Tan","doi":"10.1145/3485768.3485780","DOIUrl":null,"url":null,"abstract":"This paper explored the option transactions on Chicago Board Options Exchange (CBOE) in January 2017 and investigated mispricing by testing the violation of boundary conditions, put-call-parity, and Black-Scholes model. Scrutinizing all 1,048,575 transactions, the group discovered a considerable amount of mispricing as well as associated arbitrage opportuni-ties. In this paper, the group will present and categorize the discovered mispricing and conceptualize a trend of arbitrage opportunities that will help readers to profit from the mispricing dynamically.","PeriodicalId":328771,"journal":{"name":"2021 5th International Conference on E-Society, E-Education and E-Technology","volume":"42 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Option Mispricing & Arbitrage Opportunity\",\"authors\":\"Jiaming Hu, Wei Huan, Yun Feng, Zhiyuan Simon Tan\",\"doi\":\"10.1145/3485768.3485780\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper explored the option transactions on Chicago Board Options Exchange (CBOE) in January 2017 and investigated mispricing by testing the violation of boundary conditions, put-call-parity, and Black-Scholes model. Scrutinizing all 1,048,575 transactions, the group discovered a considerable amount of mispricing as well as associated arbitrage opportuni-ties. In this paper, the group will present and categorize the discovered mispricing and conceptualize a trend of arbitrage opportunities that will help readers to profit from the mispricing dynamically.\",\"PeriodicalId\":328771,\"journal\":{\"name\":\"2021 5th International Conference on E-Society, E-Education and E-Technology\",\"volume\":\"42 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-08-21\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"2021 5th International Conference on E-Society, E-Education and E-Technology\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1145/3485768.3485780\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"2021 5th International Conference on E-Society, E-Education and E-Technology","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1145/3485768.3485780","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
This paper explored the option transactions on Chicago Board Options Exchange (CBOE) in January 2017 and investigated mispricing by testing the violation of boundary conditions, put-call-parity, and Black-Scholes model. Scrutinizing all 1,048,575 transactions, the group discovered a considerable amount of mispricing as well as associated arbitrage opportuni-ties. In this paper, the group will present and categorize the discovered mispricing and conceptualize a trend of arbitrage opportunities that will help readers to profit from the mispricing dynamically.
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