Arbitrage opportunities with a delta-gamma neutral strategy in the Brazilian options market

Detalhes bibliográficos
Autor(a) principal: Processi, Lucas Duarte
Data de Publicação: 2017
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: https://hdl.handle.net/10438/19502
Resumo: We investigate arbitrage opportunities in the Brazilian options market. Our research consists inbacktesting several delta-gamma neutral portfolios of options traded in B3 exchange to assessthe possibility of obtaining systematic excess returns. Returns sum up to 400% of the dailyinterbank rate in Brazil (CDI), a rate viewed as risk-free. However, with bootstrap analysis,we find evidence consistent with the absence of arbitrage opportunities in the Brazilian optionsmarket.This approach is different from other studies because the analysis is taken on several options ondifferent underlying assets, which gives us the opportunity to investigate factors that influencethe magnitude of excess returns. Europeanness is the most relevant factor found.
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spelling Processi, Lucas DuarteEscolas::EPGEFGVCunha, João Marco Braga daGlasman, Daniela KubudiGonçalves, Edson Daniel LopesSilva, André de Castro2017-12-27T11:50:16Z2017-12-27T11:50:16Z2017-11-08https://hdl.handle.net/10438/19502We investigate arbitrage opportunities in the Brazilian options market. Our research consists inbacktesting several delta-gamma neutral portfolios of options traded in B3 exchange to assessthe possibility of obtaining systematic excess returns. Returns sum up to 400% of the dailyinterbank rate in Brazil (CDI), a rate viewed as risk-free. However, with bootstrap analysis,we find evidence consistent with the absence of arbitrage opportunities in the Brazilian optionsmarket.This approach is different from other studies because the analysis is taken on several options ondifferent underlying assets, which gives us the opportunity to investigate factors that influencethe magnitude of excess returns. Europeanness is the most relevant factor found.engOptionsArbitrageBrazilian option marketDelta Gamma neutral strategyEconomiaFinançasMercado de opçõesArbitragemArbitrage opportunities with a delta-gamma neutral strategy in the Brazilian options marketinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVTEXTProcessi (2017).pdf.txtProcessi (2017).pdf.txtExtracted texttext/plain67659https://repositorio.fgv.br/bitstreams/441bec7c-a440-411a-b89f-ec50771cbd91/download2942fa67addb582f330c6ee8383e1679MD54ORIGINALProcessi (2017).pdfProcessi (2017).pdfPDFapplication/pdf1111887https://repositorio.fgv.br/bitstreams/08d7f82a-7164-4473-a5a4-e5d9720aed33/download09c88a08f1d79acf1311e697cf8c14ccMD51LICENSElicense.txtlicense.txttext/plain; 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dc.title.eng.fl_str_mv Arbitrage opportunities with a delta-gamma neutral strategy in the Brazilian options market
title Arbitrage opportunities with a delta-gamma neutral strategy in the Brazilian options market
spellingShingle Arbitrage opportunities with a delta-gamma neutral strategy in the Brazilian options market
Processi, Lucas Duarte
Options
Arbitrage
Brazilian option market
Delta Gamma neutral strategy
Economia
Finanças
Mercado de opções
Arbitragem
title_short Arbitrage opportunities with a delta-gamma neutral strategy in the Brazilian options market
title_full Arbitrage opportunities with a delta-gamma neutral strategy in the Brazilian options market
title_fullStr Arbitrage opportunities with a delta-gamma neutral strategy in the Brazilian options market
title_full_unstemmed Arbitrage opportunities with a delta-gamma neutral strategy in the Brazilian options market
title_sort Arbitrage opportunities with a delta-gamma neutral strategy in the Brazilian options market
author Processi, Lucas Duarte
author_facet Processi, Lucas Duarte
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.member.none.fl_str_mv Cunha, João Marco Braga da
Glasman, Daniela Kubudi
Gonçalves, Edson Daniel Lopes
dc.contributor.author.fl_str_mv Processi, Lucas Duarte
dc.contributor.advisor1.fl_str_mv Silva, André de Castro
contributor_str_mv Silva, André de Castro
dc.subject.eng.fl_str_mv Options
Arbitrage
Brazilian option market
Delta Gamma neutral strategy
topic Options
Arbitrage
Brazilian option market
Delta Gamma neutral strategy
Economia
Finanças
Mercado de opções
Arbitragem
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Finanças
Mercado de opções
Arbitragem
description We investigate arbitrage opportunities in the Brazilian options market. Our research consists inbacktesting several delta-gamma neutral portfolios of options traded in B3 exchange to assessthe possibility of obtaining systematic excess returns. Returns sum up to 400% of the dailyinterbank rate in Brazil (CDI), a rate viewed as risk-free. However, with bootstrap analysis,we find evidence consistent with the absence of arbitrage opportunities in the Brazilian optionsmarket.This approach is different from other studies because the analysis is taken on several options ondifferent underlying assets, which gives us the opportunity to investigate factors that influencethe magnitude of excess returns. Europeanness is the most relevant factor found.
publishDate 2017
dc.date.accessioned.fl_str_mv 2017-12-27T11:50:16Z
dc.date.available.fl_str_mv 2017-12-27T11:50:16Z
dc.date.issued.fl_str_mv 2017-11-08
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://hdl.handle.net/10438/19502
url https://hdl.handle.net/10438/19502
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
instname:Fundação Getulio Vargas (FGV)
instacron:FGV
instname_str Fundação Getulio Vargas (FGV)
instacron_str FGV
institution FGV
reponame_str Repositório Institucional do FGV (FGV Repositório Digital)
collection Repositório Institucional do FGV (FGV Repositório Digital)
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