Interaction Between Financial Markets: The limit of the option pricing theory and arbitrage trading strategy

We shall investigated the interaction between the Stock Market and the Stock Option Market. When the prediction of the future distribution of the stock prices is different between these markets, there is a chance that the option pricing method of Black and Scholes with its application to an arbitrage trading strategy may lead us to a big market turmoil. We shall investigate the conditions of market stability.

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Year of publication:	1999-04
Authors:	Takahashi, Hajime
Institutions:	Graduate School of Economics, Hitotsubashi University

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Extent:	application/pdf
Series:	Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	November 30, 1998; Revised April 30, 1999 Number 1998-10 16 pages long
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004992541