Results 41 to 50 of about 134,260 (327)
Universal Arbitrage Aggregator in Discrete Time Markets under Uncertainty
, 2015 In a model independent discrete time financial market, we discuss the richness of the family of martingale measures in relation to different notions of Arbitrage, generated by a class $\mathcal{S}$ of significant sets, which we call Arbitrage de la ...
Burzoni, Matteo +2 more
core +1 more source
Asymptotic arbitrage in the Heston model [PDF]
, 2014 In the context of the Heston model, we establish a precise link between the set of equivalent martingale measures, the ergodicity of the underlying variance process and the concept of asymptotic arbitrage proposed in Kabanov-Kramkov and in Follmer ...
Haba, Fatma, Jacquier, Antoine
core +4 more sources
Three little arbitrage theorems
Frontiers in Applied Mathematics and Statistics, 2023 The authors proved three theorems about the exact solutions of a generalized or interacting Black–Scholes equation that explicitly includes arbitrage bubbles. These arbitrage bubbles can be characterized by an arbitrage number AN.
Mauricio Contreras G. +2 more
doaj +1 more source
Stochastic Processes and their Applications, 1998 The author studies models of a frictionless security market where the prices are continuous processes of bounded \(p\)-variation, \(p\in [1,2)\). Specifically, ``volatility terms'' of the price processes are fractional Brownian motions with index \(1 ...
openaire +4 more sources
Arbitrage, Equilibrium, and Nonsatiation [PDF]
SSRN Electronic Journal, 2004 In his seminal paper on arbitrage and competitive equilibrium in unbounded exchange economies, Werner (Econometrica, 1987)proved the existence of a competitive equilibrium, under a price no-arbitrage condition, without assuming either local or global nonsatiation.
Nizar Allouch +2 more
openaire +5 more sources
Product differentiation in the fruit industry: Lessons from trademarked apples
Agribusiness, EarlyView.Abstract We derive price premiums for patented or trademarked apple varieties, also known as “club apples,” compared to open‐variety apples. We use an expansive retail scanner dataset, along with unique data on apple taste characteristics, to estimate monthly club apple premiums for 2008–2018.
Modhurima Dey Amin +3 more
wiley +1 more source
Market models with optimal arbitrage [PDF]
, 2013 We construct and study market models admitting optimal arbitrage. We say that a model admits optimal arbitrage if it is possible, in a zero-interest rate setting, starting with an initial wealth of 1 and using only positive portfolios, to superreplicate ...
Chau, Huy N., Tankov, Peter
core
SSRN Electronic Journal, 2010 This paper is studies the general equilibrium implications of arbitrage trades by strategic players in segmented financial markets. Arbitrageurs exploit client`ele effects and choose to specialize in one category of trades, taking into consideration all other arbitrage strategies. This results in an equilibrium network of arbitrageurs.
Rahi, Rohit, Zigrand, Jean-Pierre
openaire +3 more sources
Agribusiness, EarlyView.Abstract Futures markets are critical to price discovery and often dominate spot markets. We analyze the linkages between daily corn futures and spot prices in the United States using dynamic time warping. This nonparametric pattern recognition technique has several advantages over traditional time series methods.
Dragan Miljkovic +2 more
wiley +1 more source
The Relationship Between Interest Rates and Agricultural Commodity Price Dynamics
Agribusiness, EarlyView.ABSTRACT The U.S. Federal Reserve has undertaken several interest rate interventions in the past decade. This study explores the relationship between U.S. corn and soybean prices and Federal Reserve monetary policy interventions, in the short and long run.
Zhining Sun, Ani L. Katchova
wiley +1 more source