TSANG, EDWARD; MARKOSE, SHERI; ER, HAKAN - In: New Mathematics and Natural Computation (NMNC) 01 (2005) 03, pp. 435-447
The prices of the option and futures of a stock both reflect the market's expectation of futures changes of the stock's price. Their prices normally align with each other within a limited window. When they do not, arbitrage opportunities arise: an investor who spots the misalignment will be able...