The application of the improved option parity arbitrage model in SSE 50ETF option

Liu Xu, W. Chu, S. Defilla, L. Zhang
2021 E3S Web of Conferences  
The SSE 50ETF option is China's first stock index option product launched in 2015. For a number of reasons, the options market can sometimes create arbitrage opportunities. Based on the theory of option parity arbitrage and taking into account the transaction costs, this paper explores effective options arbitrage strategies and practices them. Based on the theory of option parity arbitrage and taking into account the transaction costs, this paper establishes an effective option arbitrage
more » ... on arbitrage strategy model and puts it into practice. The results show that there are indeed arbitrage opportunities in the market that exceed the risk-free rate of return, but there are not many such opportunities, and there is not much arbitrage space under many opportunities. This is not only the embodiment of high market efficiency, but also the result of taking various transaction costs into full consideration in this paper to ensure the effectiveness of arbitrage.
doi:10.1051/e3sconf/202123301169 fatcat:f6552an7qfdj5gvgmfosq6lzom