Results 171 to 180 of about 6,903 (211)

Price Arbitrage for DeFi Derivatives

2023 IEEE International Conference on Blockchain and Cryptocurrency (ICBC), 2023
Ivan Vakhmyanin, Yana Volkovich
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Arbitrage Pricing Theory in Ergodic Markets

SSRN Electronic Journal, 2017
Traditional approaches to Arbitrage Pricing Theory (APT) propose a factor model, but empirical applications of APT are, nowadays, based on seemingly unrelated regression. I drop the factor model and assume only that the market is ergodic. This enables me to apply the theory of Hilbert spaces in a natural way.
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A Comment on No-Arbitrage Pricing

SSRN Electronic Journal, 2013
In this short notice we present critical comments on no-arbitrage principle. We show that no-arbitrage pricing is complete in a pricing theory which ignores market risk and is dealing with the deterministic implied price of instruments. There is a unique price of a derivative in deterministic setting.
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Derivatives and arbitrage pricing

2011
A financial derivative is a contract whose value depends on one or more securities or assets, called underlying assets. Typically the underlying asset is a stock, a bond, a currency exchange rate or the quotation of commodities such as gold, oil or wheat.
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Arbitrage and the Price of Oil [PDF]

, 2011
The model simulated in this paper shows that falling interest rates contribute to rising oil prices. This occurs because oil producers treat oil in the ground as an asset and attempt to arbitrage differences between its rate of return and the interest rate.
openaire  

International Arbitrage Pricing Theory

The Journal of Finance, 1983
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Arbitrage Pricing, Capital Asset Pricing, and Agricultural Assets

American Journal of Agricultural Economics, 1988
Colin A Carter
exaly  

An empirical examination of the Arbitrage Pricing Theory

Japan and the World Economy, 1988
Yasushi Hamao
exaly  

Dynamic Arbitrage-Free Asset Pricing with Proportional Transaction Costs

Mathematical Finance, 2002
Shunming Zhang, Xiaotie Deng
exaly  

Dynamic option pricing with endogenous stochastic arbitrage

Physica A: Statistical Mechanics and Its Applications, 2010
Mauricio Contreras, Mauricio G Villena
exaly