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1 Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie

1 2011

1 Węgrzyn R.

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Arbitrażowe ograniczenia i właściwości cen opcji. Analiza empiryczna

100%

Węgrzyn R.

Zeszyty Naukowe Uniwersytetu Ekonomicznego w Krakowie

2011

nr 864

115-128

Arbitration measures are recognised as a powerful market force which leads to particular price relations. However, deviation from the appropriate relations is often observed in practice, which leads us to take a closer look at them as they play out in the Polish market. The article presents the results of empirical analysis of the limitations and properties of option prices resulting from the use of arbitration. Particular attention is given the deviations from the appropriate price relations of call and put options as well as the mutual relationships of the prices of these options. A detailed analysis has been subjected to the European call and put options on the WIG20 index, which are traded on the Warsaw Stock Exchange. Considering dividend payments, the turnover of options and the situation on the stock exchange, the prices of March options that were established from 3.12.2007 to 20.03.2008 were chosen for the analysis.