Results 1 to 10 of about 1,698,577 (227)
Risk-Neutral Pricing for Arbitrage Pricing Theory [PDF]
Journal of Optimization Theory and Applications, 2020 We consider infinite-dimensional optimization problems motivated by the financial model called Arbitrage Pricing Theory. Using probabilistic and functional analytic tools, we provide a dual characterization of the superreplication cost. Then, we show the
L. Carassus, M. Rásonyi
semanticscholar +4 more sources
Consistent Valuation across Curves Using Pricing Kernels [PDF]
Risks, 2018 The general problem of asset pricing when the discount rate differs from the rate at which an asset’s cash flows accrue is considered. A pricing kernel framework is used to model an economy that is segmented into distinct markets, each identified by a ...
Andrea Macrina, Obeid Mahomed
doaj +5 more sources
The Design of Arbitrage-Free Data Pricing Schemes [PDF]
International Conference on Database Theory, 2016 Motivated by a growing market that involves buying and selling data over the web, we study pricing schemes that assign value to queries issued over a database. Previous work studied pricing mechanisms that compute the price of a query by extending a data
Shaleen Deep, Paraschos Koutris
semanticscholar +4 more sources
Maximizing expected utility in the Arbitrage Pricing Model [PDF]
, 2015 We consider an infinite dimensional optimization problem motivated by mathematical economics. Within the celebrated "Arbitrage Pricing Model", we use probabilistic and functional analytic techniques to show the existence of optimal strategies for ...
M. Rásonyi
semanticscholar +4 more sources
A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty [PDF]
Risks, 2014 We show that the recent results on the Fundamental Theorem of Asset Pricing and the super-hedging theorem in the context of model uncertainty can be extended to the case in which the options available for static hedging (hedging options) are quoted with ...
Erhan Bayraktar +2 more
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Pricing without no-arbitrage condition in discrete time [PDF]
, 2021 In a discrete time setting, we study the central problem of giving a fair price to some financial product. This problem has been mostly treated using martingale measures and no-arbitrage conditions. We propose a different approach based on convex duality
L. Carassus, Emmanuel L'epinette
semanticscholar +1 more source
Research on Amazon's stock price forecasting based on arbitrage pricing model based on big data
Ain Shams Engineering Journal, 2023 The generation of big data is based on the network data generated when people use Internet information systems to interact. Big data can reflect the general laws of specific fields and industries, provide more accurate references for decision makers and ...
Haocheng Du
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Nonequilibrium Geometric No-Arbitrage Principle and Asset Pricing Theorem
Discrete Dynamics in Nature and Society, 2023 We find a novel and intimate correspondence in the present paper between the martingale and one-parameter transformation group and develop a nonequilibrium geometric no-arbitrage principle to a frictional financial market via this correspondence. Further,
Wanxiao Tang, Peibiao Zhao
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Arbitrage Pricing Simplified [PDF]
SSRN Electronic Journal, 2003 The paper derives fundamental arbitrage pricing results in finite dimensions in a simple unified framework using Tucker's theorem of the alternative. Frictionless results plus those with dividends, periodic interest payments, transaction costs, different interest rates for lending and borrowing, shorting costs and constrained short selling are ...
Markku Kallio, William T. Ziemba
openaire +2 more sources
Discrete Dynamics in Nature and Society, 2021 Investigating the existence and causes of idiosyncratic volatility premium puzzle in developing stock market can enrich the research on this asset pricing puzzle.
Xiaohui Chen, Jianhua Ye
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