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Análisis empírico de la paridad put-call en opciones sobre el Ibex-35.
By: Mª Begoña Font Belaire
ABSTRACT
This article test the put-call parity relation for spanish options on the Ibex-35 (EURO Opciones Ibex-35) por April 1999. Our study analyses arbitrage oportunities when the put-call parity does not hold under two hypotheses: without direct transaction costs and under directs transaction costs, and considers the economic profitability of arbitrages in function of time of expiration, time of option transactions, interes rate, moneyess of put option, spread and volatility.
KEY WORDS
Arbitrage; Derivaties; European options; MEFF RV; Options on futures contracts.
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