VALUING PUT OPTIONS ON SINGLE STOCK FUTURES: DOES THE PUT-CALL PARITY RELATIONSHIP HOLD IN THE SOUTH AFRICAN DERIVATIVES MARKET?

Risk Governance & Control: Financial Markets & Institutions

关键词: Put-Call Forward Parity;    Arbitrage Trading;    Mispricing;    Violations;   

DOI  :  10.22495/rgcv4i4c1art5

学科分类：社会科学、人文和艺术（综合）

来源: Virtus Interpress

【 摘 要 】

This study attempts to determine whether mispricing of options on single stock futures is present in theSouth African derivatives market. The valuation of options on single stock futures is considered through the put-call parity relationship. The theoretical fair values obtained, are compared to the actual market values over a period of three years, that is, from 2009 to 2011. Only put options are considered in this research.The results show that arbitrage put option opportunities do present themselves for the chosen shares. The actual put options were found to be underpriced in 5 out of 6 (83%) of the cases considered over the evaluation periods chosen. The mispricing was significant for both the BHP Billiton options with 100% and in the case of Sasol options (66%) of the time. Whether profitable arbitrage opportunities is possible, will depend on the magnitude of the mispricing and the transaction fees payable. Further, more extensive research may help identify tendencies which may be of use for the formulation of arbitrage strategies.

【 授权许可】

CC BY-NC