Wang, Changyun; Zhang, Wei; Tan, Weng Kit - In: Quantitative Finance 8 (2008) 3, pp. 313-320
Previous studies have examined the profitability of European index options arbitrage. This paper adds to the literature by investigating the arbitrage profitability of American index options—the Nikkei 225 index futures options traded on the Singapore Stock Exchange (SGX). Using the real-time...