The efficiency of the market for 5-year call options which are traded on the European Options Exchange in Amsterdam is investigated. Both delta, delta-vega and delta-gamma neutral arbitrage portfolios are studied. No serious inefficiencies in the market for longterm call options are detected. This result is in line with previous studies on different kinds of call options and warrants. The results for the delta-vega and delta-gamma neutral arbitrage strategies differ from the results of the simple delta-neutral strategies in two ways: they lead to positive results more often, but the variance of these results is also larger.
- Long-term call options
- Market efficiency