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This paper examines pricing efficiency of the currency option market in Korea using lower boundary conditions for option prices. This study analyzes the option lower boundary conditions calculated from currency futures prices and arbitrage opportunities in the U.S. dollar options and U.S. dollar futures markets in Korea. Lower boundary condition tests are performed for both call and put options.
The results of this study show that there were violations of lower boundary conditions and arbitrage opportunities existed not only for futures companies but also for investors in the U.S. dollar options and futures markets during the period under study. However, the frequency of violations is low. If we consider the low trading volume of U.S. dollar options during the period under study, it appears that profitable arbitrage opportunities were limited.
The results of this study show that there were violations of lower boundary conditions and arbitrage opportunities existed not only for futures companies but also for investors in the U.S. dollar options and futures markets during the period under study. However, the frequency of violations is low. If we consider the low trading volume of U.S. dollar options during the period under study, it appears that profitable arbitrage opportunities were limited.
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Abstract
1. 서론
2. 선행연구
3. 옵션가격 하한조건과 차익거래
4. 실증분석 자료 및 방법
5. 실증분석 결과
6. 요약 및 결론
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UCI(KEPA) : I410-ECN-0101-2014-405-000364727