A study on the efficiency of the market for dutch long-term call options

F. De Roon, C. Veld, J. Wei

Research output: Contribution to journalArticleResearchpeer-review


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.

Original languageEnglish
Pages (from-to)93-111
Number of pages19
JournalEuropean Journal of Finance
Issue number2
Publication statusPublished - 1998
Externally publishedYes


  • Arbitrage
  • Hedging
  • Long-term call options
  • Market efficiency

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