Arbitrage Opportunities in the Options Market

Student: Anastasia Sukhanova

Faculty: International College of Economics and Finance

Educational Programme: International Programme in Economics and Finance (Bachelor)

Year of Graduation: 2024

The paper explores the reasoning for the existence of unexploited arbitrage opportunities in the options market. We present a model illustrating the strategic interactions between agents (dealers) with the existence of entry possibility by the arbitrageur. We argue that with the structure and features that the options market possesses, deterrence can explain the evidence of arbitrage persistence.

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