Arbitrageurs profiting from warrants mispricing

Arbitrageurs are profiting from shortcomings in the pricing systems of leading European warrants sellers, equity derivative specialists say. One firm that has been targeted is Citigroup, a warrant market leader, according to rival firms.

Several market sources say an individual based in Seville made several hundred thousand euros from Citigroup in the fourth quarter of last year by exploiting lags in its option pricing system. Madrid-based Vasco Duarde-Silva, head of European warrants at

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