Risk Aversion, the Analysis and Improvement of Risk-Free Arbitrage Based on CBOE Data

DOI

10.2991/aebmr.k.201128.050How to use a DOI?

Keywords

Option, risk, arbitrage

Abstract

This paper conducts various risk-free arbitrage studies on options data in the Chicago Board Options Exchange. Although there are not many opportunities for arbitrage that violates market rules on the surface, there are many external factors that need to be considered in practice. These factors were thoroughly analyzed. This paper concluded that the B-S-M model has imperfections in determining future option prices. Based on the actual market, the model has been improved to speculate and to conjecture. Thus, investors will be able to make corresponding suggestions.

Copyright

© 2020, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Tianchi Lu
AU  - Weiyi Wang
AU  - Tianhua Chen
AU  - Hongyu Yang
PY  - 2020
DA  - 2020/11/30
TI  - Risk Aversion, the Analysis and Improvement of Risk-Free Arbitrage Based on CBOE Data
BT  - Proceedings of the 2020 2nd International Conference on Economic Management and Cultural Industry (ICEMCI 2020)
PB  - Atlantis Press
SP  - 250
EP  - 257
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.201128.050
DO  - 10.2991/aebmr.k.201128.050
ID  - Lu2020
ER  -