dc.contributor.advisor |
Ye, George |
|
dc.coverage.spatial |
Canada |
|
dc.creator |
Pan, Dawei |
|
dc.date.accessioned |
2012-10-12T18:35:27Z |
|
dc.date.available |
2012-10-12T18:35:27Z |
|
dc.date.issued |
2012 |
|
dc.identifier.uri |
http://library2.smu.ca/xmlui/handle/01/24722 |
|
dc.description |
1 online resource (iii, 70 leaves) |
|
dc.description |
Includes abstract and appendices. |
|
dc.description |
Includes bibliographical references (leaves 30-32). |
|
dc.description.abstract |
The main idea of this paper is to test whether there is arbitrage opportunity in Canadian index option market. This paper uses the put-call parity relationship to do the test. In order to make the test more logical, reasonable and close to reality, there are four assumptions made by this paper. The data, which this paper used, is also close to those assumptions. To test the existence of the arbitrage opportunity, 1266 pairs of data are used which include 633 long hedge positions and 633 short hedge positions. AT-test was used to test the existence of the arbitrage opportunities. The paper did the test separately for the long hedge position and short hedge position. The final conclusion of this paper is that, there are no significant arbitrage opportunities in the Canadian option market, but the arbitrage opportunities only really exist for very small probabilities. |
en_CA |
dc.description.provenance |
Submitted by Trish Grelot (trish.grelot@smu.ca) on 2012-10-12T18:35:27Z
No. of bitstreams: 1
pan_dawei_mrp_2012.pdf: 942006 bytes, checksum: 0e4c3faa4c3ffd92e61c5f784bef6c73 (MD5) |
en |
dc.description.provenance |
Made available in DSpace on 2012-10-12T18:35:27Z (GMT). No. of bitstreams: 1
pan_dawei_mrp_2012.pdf: 942006 bytes, checksum: 0e4c3faa4c3ffd92e61c5f784bef6c73 (MD5) |
en |
dc.language.iso |
en |
en_CA |
dc.publisher |
Halifax, N.S. : Saint Mary's University |
|
dc.title |
Test the arbitrage opportunity by using put-call parity model related to Canadian index option |
en_CA |
dc.type |
Text |
en_CA |
thesis.degree.name |
Master of Finance |
|
thesis.degree.level |
Masters |
|
thesis.degree.discipline |
Finance, Information Systems, & Management Science |
|
thesis.degree.grantor |
Saint Mary's University (Halifax, N.S.) |
|