摘要
文章主要探讨欧式期权的平价套利在中国市场中应用。作为中国内地首个期权产品,上证50ETF期权上市初期会出现其市场价格与理论价格发生偏离的情形,从而可以借助期权平价原理实现套利。套利策略的实施可以增加市场流动性,并让期权价格回归其合理价值。
The application of European option parity arbitrage in China market is discussed in this paper. As the first option product in China＇s A share market, there is diviation between market price and theoretical price in preliminary stage, from which could be acquisited arbitrage. The participation of arbitrage investors would increase the liquidity of option tading, and which could let the options price return to there proper value.
出处
《价值工程》
2016年第1期14-15,共2页
Value Engineering
