Proceedings of the 2020 2nd International Conference on Economic Management and Cultural Industry (ICEMCI 2020)

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

Authors
Tianchi Lu, Weiyi Wang, Tianhua Chen, Hongyu Yang
Corresponding Author
Tianchi Lu
Available Online 30 November 2020.
DOI
https://doi.org/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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Volume Title
Proceedings of the 2020 2nd International Conference on Economic Management and Cultural Industry (ICEMCI 2020)
Series
Advances in Economics, Business and Management Research
Publication Date
30 November 2020
ISBN
978-94-6239-283-0
ISSN
2352-5428
DOI
https://doi.org/10.2991/aebmr.k.201128.050How to use a DOI?
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/).

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  - https://doi.org/10.2991/aebmr.k.201128.050
ID  - Lu2020
ER  -