Liang Jin

Execution Feasibility and Limits to Arbitrage: High‐Frequency Evidence From KOSPI 200 Box Spreads

ABSTRACT This study examines whether apparent box‐spread mispricing in the KOSPI 200 index options market translates into execution‐feasible arbitrage after realistic implementation frictions are imposed. Using high‐frequency trade‐and‐quote data from the Korea Exchange, we const...