국채선물옵션 가격 하한조건과 일중 차익거래 기회에 관한 분석 = The Lower Boundary Conditions for KTB Futures Options and Intraday Arbitrage Opportunities

다국어 초록 (Multilingual Abstract)

This paper examines the lower boundary conditions for KTB futures options and analyzes arbitrage opportunities in the KTB futures options and KTB futures markets in Korea. Lower boundary conditions tests are performed for both KTB call and put options, and ex-post and ex-ante arbitrage profits are examined. Arbitrage opportunities between KTB put options and KTB futures rarely existed. There were some violations of lower boundary conditions for KTB call options, and arbitrage opportunities between KTB call options and KTB futures existed not only for futures companies which are members of KRX(Korea Exchange) but also for non-member investors. However, this study`s results reveal that the average ex-ante arbitrage profits were negative, and arbitrageurs were subject to substantial risk in executing arbitrage in the KTB futures option and KTB futures markets.

참고문헌 (Reference)

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