The Box Spread Arbitrage Conditions: Theory, Tests, and Investment Strategies
Review of Financial Studies
1989
This paper develops and tests arbitrage bounds for a combination of two option spread positions known as a box spread. This strategy involves the simultaneous use of four options and creates a position that is equivalent to riskless lending. The no-arbitrage conditions are compared to existing arbitrage bounds and are tested using Chicago Board Options Exchange data.
- DOI
- 10.1093/rfs/2.1.91
- Volume
- 2 (1)
- Pages
- 91-108
- Language
- en
- Export
- BibTeX
- Sources
- openalex crossref