Efficiency of the Swedish Option Market and the Effect of Volatility: A test of conversion and reversal strategies
Abstract
Using Swedish index option spanning the period of 2005 to 2015 the validity of the put-call parity, and thus the efficiency of the option market, has been tested. The impact of volatility on the market efficiency has also been covered in this paper. Theoretical as well as the financial efficiency was tested. I find proof of systematic relative put overpricing and arbitrage possibilities for institutional and private investors alike. These arbitrage possibilities have both statistic and financial significance. No relationship between inefficiencies and volatility were found.
Degree
Master 2-years
Other description
MSc in Finance
Collections
View/ Open
Date
2017-07-25Author
Hägerström, Pontus
Series/Report no.
Master Degree Project
2017:152
Language
eng