- 期刊
Comparison of Violations in the Options Market between CFFEX and CBOE
摘要
This paper investigated the history of the CBOE and CFFEX data analysis, through to the bonds violation, convexity violation, maturity violation, the put - call parity violation and Black - Scholes model were compared. We found that the violation rates of the US market and the Chinese market are very different. And the default rate of the upper and lower bounds is obviously different. Moreover, CFFEX's bump irregularity rate is higher than CBOE's bump irregularity rate. In addition to the research on the Black-Scholes model, we conclude that compared with the US market, the Chinese market has larger violations and more arbitrage opportunities. And the arbitrage profits of arbitrageurs in China are also considerable.
參考文獻
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