Efficiency of the Swedish Option Market and the Effect of Volatility: A test of conversion and reversal strategies

dc.contributor.author	Hägerström, Pontus
dc.date.accessioned	2017-07-25T12:24:39Z
dc.date.available	2017-07-25T12:24:39Z
dc.date.issued	2017-07-25
dc.identifier.uri	http://hdl.handle.net/2077/53118
dc.description	MSc in Finance	sv
dc.description.abstract	Using Swedish index option spanning the period of 2005 to 2015 the validity of the put-call parity, and thus the efficiency of the option market, has been tested. The impact of volatility on the market efficiency has also been covered in this paper. Theoretical as well as the financial efficiency was tested. I find proof of systematic relative put overpricing and arbitrage possibilities for institutional and private investors alike. These arbitrage possibilities have both statistic and financial significance. No relationship between inefficiencies and volatility were found.	sv
dc.language.iso	eng	sv
dc.relation.ispartofseries	Master Degree Project	sv
dc.relation.ispartofseries	2017:152	sv
dc.title	Efficiency of the Swedish Option Market and the Effect of Volatility: A test of conversion and reversal strategies	sv
dc.type	Text
dc.setspec.uppsok	SocialBehaviourLaw
dc.type.uppsok	H2
dc.contributor.department	University of Gothenburg/Graduate School	eng
dc.contributor.department	Göteborgs universitet/Graduate School	swe
dc.type.degree	Master 2-years