Risk arbitrage opportunities for stock index options

DOI10.1287/OPRE.2020.2012MaRDI QIDQ4994145zbMATH OpenOpenAlexFDO

Authors Thierry Post, Iñaki R. Longarela

Publication date 17 June 2021

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.2020.2012

zbMATH Keywords

linear programmingoptions pricingoptions tradingrisk arbitragestochastic dominance

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A general test for SSD portfolio efficiency
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• scientific article; zbMATH DE number 3069630 (Why is no real title available?)
• Measure preserving derivatives and the pricing kernel puzzle
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• Processing second-order stochastic dominance models using cutting-plane representations
• Stochastic Dominance Bounds on American Option Prices in Markets with Frictions
• Stochastic dominance bounds on derivatives prices in a multiperiod economy with proportional transaction costs.
• Testing for the stochastic dominance efficiency of a given portfolio
• The Efficiency Analysis of Choices Involving Risk

Cited in

(6)

• Arbitrage opportunities in misspecified stochastic volatility models
• American futures options arbitrage: evidence from the Nikkei 225 options market
• What Drives Index Options Exposures?
• CHANCE DISCOVERY IN STOCK INDEX OPTION AND FUTURES ARBITRAGE
• Optimal measure preserving derivatives revisited
• Evidence on the arbitrage efficiency of SPI index futures and options markets

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