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  Advances and Applications in Statistics  
 ISSN: 0972-3617
 
 
 

     Advances and Applications in Statistics
    Volume 12, Issue 2, Pages 223 - 233 (August 2009)


EMPIRICAL EVIDENCE ON ARBITRAGE BY CHANGING THE STOCK EXCHANGE

José Igor Morlanes (Finland), Antti Rasila (Finland) and Tommi Sottinen (Finland)

Received January 12, 2009

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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