The Box Spread Arbitrage Conditions: Theory, Tests, and Investment Strategies
为盒式价差（一种由四个期权组合成的无风险头寸）推导并检验套利边界，使用芝加哥期权交易所数据验证其与现有套利条件的差异。
This paper develops and tests arbitrage bounds for a combination of two option spread positions known as a box spread. This strategy involves the simultaneous use of four options and creates a position that is equivalent to riskless lending. The no-arbitrage conditions are compared to existing arbitrage bounds and are tested using Chicago Board Options Exchange data.