![]() In this paper, we focus on put-callfutures parity arbitrage opportunities. When they do not, arbitrage opportunities arise: an investor who spots the misalignment will be able to buy (sell) options on one hand, and sell (buy) futures on the other and make risk-free profits. ![]() Their prices normally align with each other within a limited window. The prices of the option and futures of a stock both reflect the marketâs expectation of futures trends of the stockâs price. R esearch 30|$|In a risk free profit equal to: Fbte âra(Tât) â > 0 (2) When condition (1) is violated, a short arbitrage profit can be realized by shorting futures and protecting it by a synthetic long futures position by (i) buying a call option, (ii) shorting a futures option, and (iii) borrowing the present discounted value of the futures price and lending the same for the e ✕
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