The Box Spread Arbitrage Conditions: Theory, Tests, and Investment Strategies

• 成果类型: Article
• 署名作者: Ronn, Aimee Gerbarg; Ronn, Ehud I.
• 署名单位: Stanford University; University of Texas System; University of Texas Austin
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/2.1.91
• 发表日期: 1989
• 页码: 91
• 关键词: ASK

摘要

This paper develops and tests arbitrage bounds for a combination of two option spread positions known as a box spread. This strategy involves the simultaneous use of four options and creates a position that is equivalent to riskless lending. The no-arbitrage conditions are compared to existing arbitrage bounds and are tested using Chicago Board Options Exchange data.