A study on the efficiency of the market for Dutch long-term call options
The efficiency of the market for 5-year call options which are traded on the European Options Exchange in Amsterdam is investigated. Both delta, delta-vega and delta-gamma neutral arbitrage portfolios are studied. No serious inefficiencies in the market for longterm call options are detected. This result is in line with previous studies on different kinds of call options and warrants. The results for the delta-vega and delta-gamma neutral arbitrage strategies differ from the results of the simple delta-neutral strategies in two ways: they lead to positive results more often, but the variance of these results is also larger.
Year of publication: |
1998
|
---|---|
Authors: | Roon, F. De ; Veld, C. ; Wei, J. |
Published in: |
The European Journal of Finance. - Taylor & Francis Journals, ISSN 1351-847X. - Vol. 4.1998, 2, p. 93-111
|
Publisher: |
Taylor & Francis Journals |
Keywords: | Market Efficiency Long-TERM Call Options Arbitrage Hedging |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Hedging pressure effects in futures markets
Roon, Frans de, (2000)
-
A study on the efficiency of the market for Dutch long term call options
Roon, Frans de, (1996)
-
A study on the efficiency of the market for Dutch long-term call options
Roon, Frans de, (1998)
- More ...