| 创设人在创设武钢权证中的套利机会 |
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| 引用本文： | 方曙红,雷冰.创设人在创设武钢权证中的套利机会[J].上海管理科学,2006,28(3):18-21. |
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| 作者姓名： | 方曙红 雷冰 |
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| 作者单位： | 复旦大学管理学院财务金融系 |
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| 基金项目： | 教育部人文社会科学规划项目 |
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| 摘 要： | 2005年11月23日,武钢认购权证和武钢认沽权证开始上市交易,继续延续着中国权证市场的火爆盛况。然而,根据欧式看涨期权和看跌期权的平价公式及不同执行价格的同类期权所必然具有的内在价值规律,我们发现通过适当地构造由武钢认购权证、武钢认沽权证、武钢股票及无风险债券所构成的套利组合,就可获得无风险利润。因此,权证市场对有创设权证资格的证券公司来说存在无风险套利机会,本文根据创设武钢权证的有关规定,具体给出了通过创设武钢认购权证并构造相应套利组合的套利方式。
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| 关 键 词： | 武钢权证 看涨-看跌期权的平价公式 套利组合 权证创设 |
Arbitrage Opportunities of Founder in Warrants of Wuhan Steel |
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| Fang Shuhong,Lei Bing.Arbitrage Opportunities of Founder in Warrants of Wuhan Steel[J].Shanghai Managent Science,2006,28(3):18-21. |
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| Authors: | Fang Shuhong Lei Bing |
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| Institution: | Fang Shuhong Lei Bing |
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| Abstract: | Based on the put-call parity relationship and the basic relations between the options of different exercise prices, we find that the current interest and the prices of the put, call warrants of Wuhan Steel and their underlying stock may imply arbitrage opportunities. Moreover the practical operation strategy for the qualified security companies is presented. |
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| Keywords: | Warrants of Wuhan Steel put-call parity relationship arbitrage portfolio warrant design |
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