Please use this identifier to cite or link to this item: https://ptsldigital.ukm.my/jspui/handle/123456789/454345
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dc.contributor.authorAhn, Chun Youp-
dc.contributor.authorPark, Hun Y.-
dc.contributor.authorByoun, Soku-
dc.date.accessioned2023-08-29T09:20:42Z-
dc.date.available2023-08-29T09:20:42Z-
dc.identifier.urihttps://ptsldigital.ukm.my/jspui/handle/123456789/454345-
dc.description.abstractThis study investigates arbitrage opportunities and efficiency of the KOSPI 200 options in Korea, an emerging option market but the fastest growing and the most actively traded index option market in the world. Several no-arbitrage conditions are considered including lower boundary conditions of call and put prices, option price relations independent of underlying index, put-call parity, and box spread arbitrage conditions. Overall, there exist sizable arbitrage opportunities when the arbitrage conditions involve both options and the underlying index. However, few arbitrage opportunities exist when the arbitrage conditions are formed independent of the underlying index. There are more frequent no-arbitrage violations during opening and closing hours, on near-maturity days, and with in-the-money options.en_US
dc.language.isoenen_US
dc.subjectKOSPI 200en_US
dc.subjectInvestment strategyen_US
dc.subjectArbitrageen_US
dc.titleArbitrage opportunities and efficiency of an emerging option market: The Case of KOSPI 200 options in Koreaen_US
dc.typeSeminar Papersen_US
dc.format.pages14en_US
dc.identifier.callnoHG4026.A536 2001 katsemen_US
dc.contributor.conferencenameThe thirteenth Annual PACAP/FMA Finance Conference-
dc.coverage.conferencelocationWestin Chosun Hotel, Seoul, Korea-
dc.coverage.conferencelocationRadisson Plaza Hotel, Seoul, Korea-
dc.date.conferencedate2001-07-05-
Appears in Collections:Seminar Papers/ Proceedings / Kertas Kerja Seminar/ Prosiding

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