Abstract
This chapter discusses option arbitrage, the last category of option trading strategies in which there is a neutral view on the underlying market and on volatility. In most markets, this would preclude any activity, but with options, opportunities may still exist by which to profit. These opportunities include calendar spreads, ‘delta neutral’ trading, and put-call parity arbitrages such as conversions, reversals and box trades.
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© 1991 Palgrave Macmillan, a division of Macmillan Publishers Limited
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Tompkins, R.G. (1991). Option Arbitrage. In: Bund Options. Finance and Capital Markets. Palgrave Macmillan, London. https://doi.org/10.1007/978-1-349-12800-6_6
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DOI: https://doi.org/10.1007/978-1-349-12800-6_6
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-0-333-56910-8
Online ISBN: 978-1-349-12800-6
eBook Packages: Palgrave Economics & Finance CollectionEconomics and Finance (R0)