Cross-listed cross-currency assets and arbitrage with forwards and options
AbstractThis work attempts to integrate the twin-structure of arbitrage operations in both securities and currency markets. By looking into cross-listed and cross-currency stocks in several exchanges, it is found that arbitrage is indeed a viable option, since price differences of the same assets exist in a numéraire currency at the same instant of time. Taking advantage of such arbitrage opportunities, profit is made first in the assets trade, and then the initial profit is churned further in an iterative arbitrage process in the currency market where arbitrage is covered by forward and option contracts.
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Bibliographic InfoArticle provided by Elsevier in its journal Global Finance Journal.
Volume (Year): 21 (2010)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/locate/inca/620162
Arbitrage Cross Listing Derivatives Forward Contracts Options Contracts Iterative Profit;
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NBER Working Papers
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