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| Author: | Deville, L. Riva, F. |
| Title: | Liquidity and arbitrage in options markets: A survival analysis approach |
| Journal: | Review of finance
2007 : SEP, VOL. 11:3, p. 497-525 |
| Index terms: | stock markets securities options arbitrage liquidity France |
| Language: | eng |
| Abstract: | Based on intra-day transactions data from the French index options market (hereafter as: i-o-m.), this paper explores the determinants of the time it takes for an i-o-m. to return to no arbitrage (here as: arb.) values after put-call parity deviations (as: devs). A survival analysis is used to characterize how limits to arb. influence the expected duration of arb. devs. The liquidity-linked variables are shown to be associated with a faster reversion of arb. profits etc. |
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