Optimal trading of stock options under alternative strategy
β Scribed by Tadashi Dohi; Shunji Osaki
- Publisher
- Elsevier Science
- Year
- 1992
- Tongue
- English
- Weight
- 515 KB
- Volume
- 24
- Category
- Article
- ISSN
- 0898-1221
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract Assuming the absence of market frictions, deterministic interest rates, and certainty in dividend payouts from the stocks in the index basket, an arbitrageur can lock in the profit of a positive (negative) arbitrage basis in a stock index futures by adopting a short (long) futures strat
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