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- W32925305 abstract "This paper focuses on the Israeli currency options market, which includes currency options traded on the Tel Aviv Stock Exchange and (non-tradable) Bank of Israel currency options. The three aims of this study are: (a) To examine the null hypothesis that the Israeli currency options market is efficient, an issue that has not yet been thoroughly investigated. Ex-post tests of arbitrage and dominance conditions do not permit rejection of the null hypothesis, except for very-nearmaturity, deep-in-the-money (ITM) options. (b) To test the validity of the Black and Scholes (B-S) model as a native option-pricing model for the case of an exchange-rate target zone. We find that although we cannot reject the weakly efficient market hypothesis (except for very-near-maturity deep-ITM options), we can reject the strongly efficient market and/or the B-S model validity hypotheses. The banking sector could have utilized arbitrage opportunities, notably for out-ofthe-money, at-the-money, and far-from-maturity options, especially when employing inter-temporal weighted-average implied standard deviation. (c) To address the issue of the liquidity premium evaluation; this (rather surprisingly) is found to be negative for some options. This study extends previous studies of options by examining the efficiency of currency option markets and the validity of the Black and Scholes model under a target zone exchange rate regime. It also compares the performance of currency option trading on the exchange and over-the-counter for the same period. The Maurice Falk Institute for Economic Research in Israel Jerusalem: January 1999 • Discussion Paper No. 99.01 ARBITRAGE TESTS OF ISRAEL’S CURRENCY OPTIONS MARKETS" @default.
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- W32925305 date "1999-01-01" @default.
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- W32925305 title "Arbitrage Tests of Israel’s Currency Options Markets" @default.
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