School of Statistics, East China Normal University, Shanghai, People's Republic of China
School of Statistics, East China Normal University, Shanghai, People's Republic of China
School of Statistics, East China Normal University, Shanghai, People's Republic of China
School of Statistics, East China Normal University, Shanghai, People's Republic of China
financialmaths@gmail.com
School of Statistics, East China Normal University, Shanghai, People's Republic of China
Abstract
When a financial derivative can be traded consecutively and its terminal payoffs can be adjusted into a stationary time series, there might be a statistical arbitrage opportunity even under the efficient market hypothesis. In particular, we show the examples of selling put options of the three major ETFs (Exchange Traded Funds) in the U.S. market.