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2018
This chapter studies the modifications needed due to the introduction of trading constraints in the arbitrage pricing theory of the fundamental theorems Chap. 2. Most, but not all of the three fundamental theorems of asset pricing extend with trading constraints.
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This chapter studies the modifications needed due to the introduction of trading constraints in the arbitrage pricing theory of the fundamental theorems Chap. 2. Most, but not all of the three fundamental theorems of asset pricing extend with trading constraints.
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1996
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Jensen, B. A., Nielsen, J. A.
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Jensen, B. A., Nielsen, J. A.
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Asset Pricing III: Arbitrage-Based Pricing
2019This chapter develops a arbitrage-based pricing model in which the extent to which the stochastic discount factor varies is unrestricted.
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Mathematical Social Sciences, 1996
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Derivatives and arbitrage pricing
2011A 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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1995
Die Arbitrage Pricing Theory (APT) wurde von Ross (1976, 1977) als testbare Alternative zum Capital Asset Pricing Model (CAPM) entwickelt und war wiederholt Gegenstand zahlreicher theoretischer4 und empirischer5 Arbeiten. Alle Modellvarianten der APT basieren auf einer Grundannahme: die Renditen riskanter Wertpapiere werden durch einen stochastischen ...
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Die Arbitrage Pricing Theory (APT) wurde von Ross (1976, 1977) als testbare Alternative zum Capital Asset Pricing Model (CAPM) entwickelt und war wiederholt Gegenstand zahlreicher theoretischer4 und empirischer5 Arbeiten. Alle Modellvarianten der APT basieren auf einer Grundannahme: die Renditen riskanter Wertpapiere werden durch einen stochastischen ...
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Performance Measurement with the Arbitrage Pricing Theory: A New Framework for Analysis
, 1986Gregory Connor, Robert A. Korajczyk
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Option pricing: A simplified approach☆
, 1979J. Cox, S. Ross, M. Rubinstein.
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An Empirical Test of the Arbitrage Pricing Theory—The Case of Indian Stock Market
, 2012Debarati Basu, Deepak Chawla
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