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Option prices, particularly those of out-of-the-money equity index puts, are difficult to justify in a no-arbitrage framework. This paper shows how limits to arbitrage affect the relative pricing of out-of-the-money put vs. call options (option-implied skewness). Decomposing the price of...
Persistent link: https://www.econbiz.de/10013113494
International commodity market arbitrage is generally based on moving the commodity between countries to exploit price differences, making allowance for exchange rates. This form of arbitrage is clearly impossible for services and immobile objects such as real estate. However, there is the...
Persistent link: https://www.econbiz.de/10013109128
Persistent link: https://www.econbiz.de/10014532187
We investigate stale reference pricing and liquidity provision in dark pools using proprietary, participant-level regulatory data. We show a substantial amount of stale trading occurs, imposing large adverse selection costs on passive dark pool participants. Consistent with these costs, HFTs...
Persistent link: https://www.econbiz.de/10013404898
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