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A Study on the Efficiency of the Market for Dutch Long Term Call Options


Frans De Roon


Tilburg University - Department of Finance

Chris Veld


University of Glasgow

Jason Zhanshun Wei


University of Toronto - Rotman School of Management
December 1995


Abstract:     
We investigate the efficiency of the market for 5 year call options which are traded on the European Options Exchange in Amsterdam. We study both delta, delta-vega, and delta-gamma neutral arbitrage portfolios. We do not detect any serious inefficiencies in the market for Dutch long term call options. This result is in line with previous studies on different kinds of call options and warrants. The results for the delta-vega and delta-gamma neutral arbitrage strategies differ from the results of the simple delta-neutral strategies in two ways: they lead to positive results more often, but the variance of these results is also larger.

Number of Pages in PDF File: 24

JEL Classification: G13

working papers series


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Date posted: January 26, 1996  

Suggested Citation

De Roon, Frans A., Veld, Chris H. and Wei, Jason Zhanshun, A Study on the Efficiency of the Market for Dutch Long Term Call Options (December 1995). Available at SSRN: http://ssrn.com/abstract=902 or http://dx.doi.org/10.2139/ssrn.902

Contact Information

Frans A. De Roon
Tilburg University - Department of Finance ( email )
P.O. Box 90153
Tilburg, 5000 LE
Netherlands
+31 1 3466 8361/3025 (Phone)
+31 1 3466 2875 (Fax)
Chris H. Veld (Contact Author)
University of Glasgow ( email )
Glasgow, Scotland G12 8LE
United Kingdom
Jason Zhanshun Wei
University of Toronto - Rotman School of Management ( email )
105 St. George Street
Toronto, Ontario M5S 3E6
Canada
416-978-3698 (Phone)
416-971-3048 (Fax)
Feedback to SSRN (Beta)


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