Develop an arbitrage and delta-neutral strategy

Assignment Help Finance Basics

Reference no: EM132175140

Question -

1. Identify an option on the ASX that you believe is mispriced. Illustrate and justify clearly why you think the instrument is mispriced.

2. Develop an arbitrage, delta-neutral strategy that will profit from the mispriced option. Specifically, detail the minimum costs of undertaking this strategy and pursuing it. You can use as much capital as you like. Given that the strategy is theoretically risk free, you should not lose any money anyway!

3. Make a record of all transactions and profit/loss of the strategy. You are required to show evidence of at least one re-balancing (even if it is advantageous to close-out early you can discuss this in your report).

4. At the end of the two weeks period, evaluate the effectiveness of this delta-neutral portfolio. (Please use the two most recent weeks of data, from 5 September backwards).

Reference no: EM132175140

Questions Cloud

How much cash after taxes would andrea receive : How much cash after taxes would Andrea receive from her investment in the first year if SHO is organized as either an LLC or a C corporation

Discuss the social and cultural norms : Discuss the social and cultural norms of your vulnerable population and how these play a role in the need for the services offered by your program.

Discuss what contributed to employee engagement : Are you or were you engaged with your work? If so, discuss what contributed to your employee engagement. If not, explain why you lacked engagement.

Develop evidence-based health promotion : Develop evidence-based health promotion and disease prevention initiatives for diverse and vulnerable populations.

Develop an arbitrage and delta-neutral strategy : Develop an arbitrage, delta-neutral strategy that will profit from the mispriced option. Specifically, detail the minimum costs of undertaking this strategy

Establish a better customer relationship : Establish a better customer relationship with its customers. What did the organization do? Was it effective? Why or why not?

How did their behavior affect you and your co-workers : Can you provide examples for which they have not? How did their behavior affect you and your co-workers?

Determine level of interpersonal skills : What questions would you ask to determine their level of interpersonal skills? What would you look for in their answers?

What we are doing and what tests are necessary : I agree with Dr. Miller. He is not advocation that all research be abolished, rather that we take a closer look at what we are doing.

User Account

All Pages