Results 221 to 230 of about 134,522 (315)

THE LIMITATIONS OF NO-ARBITRAGE ARGUMENTS FOR REAL OPTIONS [PDF]

, 2001
Friedrich Hubalek, Walter Schachermayer
openalex   +1 more source

The fundamental theorem of asset pricing with and without transaction costs

Mathematical Finance, Volume 35, Issue 2, Page 567-609, April 2025.
Abstract We prove a version of the fundamental theorem of asset pricing (FTAP) in continuous time that is based on the strict no‐arbitrage condition and that is applicable to both frictionless markets and markets with proportional transaction costs. We consider a market with a single risky asset whose ask price process is higher than or equal to its ...
Christoph Kühn
wiley   +1 more source

Operation strategy and capacity configuration of digital renewable energy power station with energy storage. [PDF]

Heliyon
Wu J, Xue L, Zheng Y, Zhang J, Li Q.
europepmc   +1 more source

Private and External Costs and Benefits of Replacing High-Emitting Peaker Plants with Batteries. [PDF]

Environ Sci Technol, 2023
Porzio J, Wolfson D, Auffhammer M, Scown CD.   +3 more
europepmc   +1 more source

The Limits of Arbitrage

, 1995
Andrei Shleifer, Robert W. Vishny
openalex   +1 more source

No Arbitrage in Discrete Time Under Portfolio Constraints [PDF]

, 2001
Laurence Carassus, Huye n Pham, Nizar Touzi   +2 more
openalex   +1 more source

Pricing and Hedging of SOFR Derivatives

Mathematical Finance, EarlyView.
ABSTRACT The London Interbank Offered Rate (LIBOR) has served since the 1970s as a fundamental measure for floating term rates across multiple currencies and maturities. However, in 2017, the Financial Conduct Authority announced the discontinuation of LIBOR from the end of 2021, and the New York Fed declared the Treasury repo financing rate, called ...
Matthew Bickersteth, Yining Ding, Marek Rutkowski   +2 more
wiley   +1 more source

The relationship between corporate entrepreneurship and its competitiveness in China: The moderating effect of employee stock ownership plan. [PDF]

Heliyon
Cao Y, Wan M.
europepmc   +1 more source

Arbitrage

, 2022
openaire   +2 more sources

Term Structure Shapes and Their Consistent Dynamics in the Svensson Family

Mathematical Finance, EarlyView.
ABSTRACT We examine the shapes attainable by the forward‐ and yield‐curve in the widely‐used Svensson family, including the Nelson‐Siegel and Bliss subfamilies. We provide a complete classification of all attainable shapes and partition the parameter space of each family according to these shapes.
Martin Keller‐Ressel, Felix Sachse
wiley   +1 more source