Risk Arbitrage Opportunities for Stock Index Options
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DOI: 10.1287/opre.2020.2012
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Cited by:
- Brendan K. Beare, 2023.
"Optimal measure preserving derivatives revisited,"
Mathematical Finance, Wiley Blackwell, vol. 33(2), pages 370-388, April.
- Brendan K. Beare, 2022. "Optimal measure preserving derivatives revisited," Papers 2201.09108, arXiv.org, revised Dec 2022.
- Armstrong, John & Brigo, Damiano, 2022. "Coherent risk measures alone are ineffective in constraining portfolio losses," Journal of Banking & Finance, Elsevier, vol. 140(C).
- Fang, Yi & Post, Thierry, 2022. "Optimal portfolio choice for higher-order risk averters," Journal of Banking & Finance, Elsevier, vol. 137(C).
- Conlon, Thomas & Cotter, John & Kovalenko, Illia & Post, Thierry, 2023. "A financial modeling approach to industry exchange-traded funds selection," Journal of Empirical Finance, Elsevier, vol. 74(C).
- Brendan K. Beare & Juwon Seo & Zhongxi Zheng, 2022. "Stochastic arbitrage with market index options," Papers 2207.00949, arXiv.org, revised May 2024.
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Keywords
options pricing; risk arbitrage; options trading; stochastic dominance; linear programming;All these keywords.
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