Risk Aversion, the Analysis and Improvement of Risk-Free Arbitrage Based on CBOE Data
Tianchi Lu, Weiyi Wang, Tianhua Chen, Hongyu Yang
Available Online 30 November 2020.
- 10.2991/aebmr.k.201128.050How to use a DOI?
- Option, risk, arbitrage
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.
- © 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/).
Cite this article
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 -