haku: @indexterm arbitrage / yhteensä: 72
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Tekijä:Deville, L.
Riva, F.
Otsikko:Liquidity and arbitrage in options markets: A survival analysis approach
Lehti:Review of finance
2007 : SEP, VOL. 11:3, p. 497-525
Asiasana:stock markets
securities
options
arbitrage
liquidity
France
Kieli:eng
Tiivistelmä: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.
SCIMA tietueen numero: 267360
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