Advances and Applications in Statistics
Volume 12, Issue 2, Pages 223 - 233
(August 2009)
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EMPIRICAL EVIDENCE ON ARBITRAGE BY CHANGING THE STOCK EXCHANGE
José ‰gor Morlanes (Finland), Antti Rasila (Finland) and Tommi Sottinen (Finland)
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Abstract: We show how arbitrage can be generated by a change in volatility that is due to a change of stock exchange. |
Keywords and phrases: arbitrage, Black-Scholes, option-pricing, relisting, volatility. |
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