Results 11 to 20 of about 891 (167)
Does investors’ site visits improve the capital market pricing efficiency? [PDF]
Heliyon, 2023 This article empirically tested the impact of investors' site visits on capital market pricing efficiency. Leveraging the data from 2009 to 2022 of Shenzhen Stock Exchange's listed companies, we found that: (1) Investors' site visits could reduce stock ...
Nian Li +5 more
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Results in Applied Mathematics, 2023 No-arbitrage property provides a simple method for pricing financial derivatives. However, arbitrage opportunities exist in various fields, even for a very short time.
Yasushi Ota, Yu Jiang, Daiki Maki
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Coherent-Price Systems and Uncertainty-Neutral Valuation
Risks, 2019 This paper considers fundamental questions of arbitrage pricing that arises when the uncertainty model incorporates ambiguity about risk. This additional ambiguity motivates a new principle of risk- and ambiguity-neutral valuation as an extension of the ...
Patrick Beissner
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Arbitrage Bounds on Currency Basket Options
Mathematical and Computational Applications, 2020 This article exploits arbitrage valuation bounds on currency basket options. Instead of using a sophisticated model to price these options, we consider a set of pricing models that are consistent with the prices of available hedging assets.
Yi Hong
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Arbitrage and universal pricing [PDF]
Journal of Economic Dynamics and Control, 2002 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Call option price function in Bernstein polynomial basis with no-arbitrage inequality constraints
Journal of Inequalities and Applications, 2016 We propose an efficient method for the construction of an arbitrage-free call option price function from observed call price quotes. The no-arbitrage theory of option pricing places various shape constraints on the option price function.
Arindam Kundu +3 more
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European Option Pricing with Transaction Costs in Lévy Jump Environment
Abstract and Applied Analysis, 2014 The European option pricing problem with transaction costs is investigated for a risky asset price model with Lévy jump. By the aid of arbitrage pricing theory and the generalized Itô formula (which includes Poisson jump), the explicit solution to the ...
Jiayin Li, Huisheng Shu, Xiu Kan
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Persistence in the performance of South African unit trusts
South African Journal of Business Management, 2000 The persistence of performance of the General Equity Unit Trusts and All Unit Trusts that traded in South Africa during the period January 1988 to December 1997 and January 1993 to December 1997, is analysed using three models of performance measurement,
J. F.C. Von Wielligh, E. V.D.M. Smit
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Consistent Valuation across Curves Using Pricing Kernels
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
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Empirical Test of the Arbitrage Pricing Theory Based on the Downside Risk(D-APT) in the Tehran Stock Exchange [PDF]
پژوهشهای مدیریت عمومی, 2017 Extended Abstract Arbitrage pricing theory presented by Ross is based on theory of the absence of arbitrage opportunities in financial market and its main condition is the existence of a linear relationship between the actual return and a set of common ...
Moslem Moradzadeh +2 more
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