The Research Of Dynamic Balance Between Put-call Evaluation Model And Strike Price

The dynamic balance research in derivative market and spot market and the hedge or arbitrage in cross-market always is being the important study work in derivatives researcher. Some of famous scholars focused on evaluation model known as "Black and Scholes option evaluation model" which was established by Fisher Black and Myron Sholes in 1973. Option evaluation is no doubt very important to trader but how to make capital gain through put-call strategy is more concerned.We examined if we can make profit by the evaluation model of option and spot to research Taiwan option market merely through strategy implementation.Investment theory indicated that the first purpose of risky investment is capital or interest gain. It is the same as derivatives, which expect the spread of volatility in spot and future market. The stock price volatility reflect the random walking theory but the investor can hardly make profit from probability because of the error existed between theory and reality. In addition, the real price reflects psychology of market trader, information feedback and other factors impact. Therefore, premium of options is constantly volatility. Researchers rarely focus on whether the spread between different strike prices are regularly dynamic balance or not. Hence this study purposed on the relationship between strike prices and premium through empirical research and try to find a strategy of arbitrage on spread of market anomaly.We derive the put-call parity equation by the concept of profit and...