Results 11 to 20 of about 1,698,577 (227)
Pointwise Arbitrage Pricing Theory in Discrete Time [PDF]
Mathematics of Operations Research, 2016 We develop a robust framework for pricing and hedging of derivative securities in discrete-time financial markets. We consider markets with both dynamically and statically traded assets and make minimal measurability assumptions.
Matteo Burzoni +4 more
semanticscholar +1 more source
Arbitrage Pricing and Equilibrium Pricing: Compatibility Conditions [PDF]
SSRN Electronic Journal, 2002 The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete financial market, with perfect information: the so-called arbitrage approach permits to construct a unique valuation operator compatible with observed price processes.
Jouini, Elyès, Napp, Clotilde
openaire +3 more sources
A Meta-Analysis of the Efficiency of Options Market and the Arbitrage Strategies [PDF]
تحقیقات مالی, 2022 Objective: While inefficiencies in the financial markets are the leading cause of capital misallocation, options market efficiency is a major area of interest within this field of study.
Saeed Fathi, Zeinab Fazelian
doaj +1 more source
On optimal strategies for utility maximizers in the Arbitrage Pricing Model [PDF]
, 2016 We consider a popular model of microeconomics with countably many assets: the Arbitrage Pricing Model. We study the problem of optimal investment under an expected utility criterion and look for conditions ensuring the existence of optimal strategies ...
M. Rásonyi
semanticscholar +1 more source
Arbitrage-free pricing of derivatives in nonlinear market models [PDF]
, 2017 The objective of this paper is to provide a comprehensive study of the no-arbitrage pricing of financial derivatives in the presence of funding costs, the counterparty credit risk and market frictions affecting the trading mechanism, such as ...
T. Bielecki, Igor Cialenco, M. Rutkowski
semanticscholar +1 more source
On pricing kernels, information and risk [PDF]
, 2013 We discuss the finding that cross-sectional characteristic based models have yielded portfolios with higher excess monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks listed on the ...
Gebbie, T. J., Wilcox, D. L.
core +1 more source
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
doaj +1 more source
Stochastic arbitrage return and its implications for option pricing [PDF]
, 2004 The purpose of this work is to explore the role that arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary ergodic ...
Fedotov, Sergei, Panayides, Stephanos
core +3 more sources
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
doaj +1 more source
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
doaj +1 more source