All Questions
Tagged with short-selling arbitrage
6 questions
0
votes
2
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113
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Are risk-free-rate bonds and cash fungible?
I had a thought experiment: suppose you wanted to borrow an equity security from me (perhaps to short sell it). I ask you for collateral and a borrow fee, and in exchange you get the stock.
If you ...
- 196
1
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0
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97
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Can arbitrage arguments be rearranged to avoid selling? (Hull, Chapter 5)
Suppose forward contracts are traded on a consumption asset, so there aren't necessarily people ready and willing to sell the asset to jump on an arbitrage opportunity. Suppose the asset has no yield, ...
- 111
0
votes
2
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131
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European Call option combined with Short selling
How would I calculate the abitrage profit from a combination of buying the $10 European call option and short selling X number of shares at t=0 and the coming out with a profit at expiry no matter ...
0
votes
1
answer
100
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Short sale and zero investmest strategy
Suppose I want to build a pairs trading strategy. Theory says that we can create a zero-investment portfolio by going long stock A and short-selling stock B, given a certain hedge ratio. My question ...
- 1,426
5
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1
answer
657
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Prove arbitrage opportunity
The continuously compounded interest rate is $r$. The current price of the underlying asset is $S(0)$ and the forward price with delivery time in 1 year is $F(0,1)$. Short selling of the stock ...
- 432
0
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1
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181
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possible to estimate if hard-to-borrow?
I'm building a low frequency US equity stat arb system. On any given day the system is long ~100 stocks and short ~100 stocks. It trades once a day at the open, and on average 4/5 of the portfolio ...
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