The increasing popularity of non-dealer security markets that offer automated, computer-based, continuous trading reflects a presumption that institutionally-set trading sessions are economically obsolete. This theoretical paper investigates the effect of trading frequency, a key feature of the...

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 option traders. Much like similar institutions, the Tel Aviv Stock Exchange (TASE) first adopted a system based on the Standard Portfolio Analysis of Risk (SPAN), which sets required levels of...

Roll [JFE 1977] demonstrates that the probability of early exercise of equity call options is low for small dividend payouts. Geske and Shastri [JBF 1985] show that unless dividends are small, put equity options would not be exercised early. Subsequently, Shastri and Tandon [JFM 1986] argue that...

Lacking examples of IPO mechanisms that are open to the public and priced competitively, previous studies could not determine what size discount, if any, is efficient. We test and reject the hypothesis that underpricing is efficient or consistent with competition by comparing two consecutive...

The increasing popularity of non-dealer security markets that offer automated, computer-based, continuous trading reflects a presumption that institutionally-set trading sessions are economically obsolete. This theoretical paper investigates the effect of the trading frequency, a key feature of...

This paper uses a model similar to the Boyle-Vorst and Ritchken-Kuo arbitrage-free models for the valuation of options with transactions costs to determine the maximum price to be charged by the financial intermediary writing an option in a non-auction market. Earlier models are extended by...

This paper extends the results of Gadkari and Spindel (Solomon Brothers 1989), Hauser and Levy (JBE v.43, 1991), and Leibowitz, Bader, and Kogelman (JFI v.3, 1993) who show that hedging currency risk converts some or all of the foreign-held claims to synthetic domestic claims. Fixed-income asset...

This paper uses a model similar to the Boyle-Vorst and Ritchken-Kuo arbitrage-free models for the valuation of options with transaction costs to determine the maximum price to be charged by the financial intermediary writing an option in a non-auction market. Earlier models are extended by...