Results 21 to 30 of about 6,903 (211)
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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European option pricing on an incomplete market as an antagonistic game [PDF]
Известия Саратовского университета. Новая серия: Математика. Механика. ИнформатикаWe describe in detail the stochastic multi-step game corresponding to the European option pricing problem on an incomplete market with discrete time and a finite number of assets, without transaction costs and trading restrictions. Recurrent Bellman-type
Zverev, Oleg V. +1 more
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Valuation of Government Bonds: the Exchange Rate Is an Important Aspect
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2017 Interest rates are currently very low in the countries. In these countries bonds are issued with low or negative yields. In this paper, I empirically investigate the factors that affect the price of bonds.
Blanka Francová
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CAPM or APT? A Comparison of Two Asset Pricing Models for Malaysia
Malaysian Management Journal, 2020 This study uses monthly return data on 213 stocks listed on the main board of Kuala Lumpur Stock Exchange, Malaysia for the period September 1988 to June 1997 to compare two frequently cited asset pricing models: the capital asset pricing model, CAPM and
Cung Huck Khoon +2 more
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Arbitrage in the Hermite Binomial Market
Fractal and Fractional, 2022 Much attention has been paid to the arbitrage opportunities in the Black–Scholes model when it is driven by fractional Brownian motions. It is natural to ask whether there exists arbitrage or not when we focus on other fractional processes, such as the ...
Xuwen Cheng, Yiran Zheng, Xili Zhang
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Semi-parametric Model of Idiosyncratic Volatility Pricing by Explaining the Arbitrage Risk [PDF]
تحقیقات مالی, 2020 Objective: The relationship between idiosyncratic volatility and expected return in finance has become a puzzle. While, based on modern portfolio theory, the relationship between risk and expected return is positive, many studies find a negative ...
Mehdi Asima, Reza Eyvazloo
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Carbon futures contract design and theoretical pricing in China’s National Carbon Market
Energy and Climate ManagementThe hedging, intertemporal arbitrage, and price discovery functions of carbon futures can help alleviate the problems of insufficient liquidity, limited trading volume, and high price volatility in the spot trading of carbon allowances in China’s ...
Yuanyuan Zhang, Yuyan Weng
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Borsa Istanbul Review, 2019 This paper studies the dynamics of the impact of currency fluctuation on Indian stock market by assessing the pricing of exchange rate risk during the period 2005–2016, specifically before and after financial crises.
Smita Mahapatra, Saumitra N. Bhaduri
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Forecasting semi-stationary processes and statistical arbitrage
Statistical Theory and Related Fields, 2020 If a financial derivative can be traded consecutively and its terminal payoffs can be adjusted as the sum of a bounded process and a stationary process, then we can use the moving average of the historical payoffs to forecast and the corresponding errors
Si Bao, Shi Chen, Wei An Zheng, Yu Zhou
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A pricing model for subscriptions in data transactions
Connection Science, 2022 With the increasing demands for data, the subscription scheme came into being in the face of pricing for an extensive and unfixed number of data items. However, in the existing subscription scheme, a diversity of customers in the real market may lead to ...
Bo Li, Minrui Wu, Zhongcheng Li, Yi Sun
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