Recent years have witnessed the proliferation of multiple-listed stocks traded in markets around the world. Any explanation for this phenomenon must address the question of efficiency with which pricing information flows among national markets. By the same token, the phenomenon of multiple...

This study explores the viability of arbitrage in determining the price of foreign exchange options when adjustments of the replicating asset portfolio are subject to transaction costs. We first develop a model for valuing those options and then use empirical data and simulation to calculate the...

Margin requirements are designed to control the default risk inherent to commitments undertaken by traders writing options. Much like similar institutions, the Tel Aviv Stock Exchange first adopted a system based on the Standard Portfolio Analysis of Risk (SPAN), which sets required levels of...

International multiple listing offers a unique opportunity to study the efficiency of information transmission across national markets. The knowledge gained from observing a stock of the same company priced in multiple markets differs from what may be gained from observing relations across...