Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/8223
Title: American put-call parity arbitrage : Nikkei 225 index futures and options (intraday bid-ask quotation from Jan-Oct 2000).
Authors: Tan, Yew Yuan.
Tay, Boon Kiang.
Keywords: DRNTU::Business::Finance::Stock exchanges
Issue Date: 2001
Abstract: Various studies were conducted to the index arbitraging. Our study on Nikkei 225 arbitraging based on put-call parity has no precedent. We concluded that arbitrage opprtunity in Nikkei 225 index derivatives market in SGX-DT is limited after taken into consideration of the practical trading constraint.
URI: http://hdl.handle.net/10356/8223
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

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