Results 21 to 30 of about 243,052 (302)
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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Arbitrage in the FTSE 100 index futures [PDF]
, 1998 This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.This thesis presents five empirical papers investigating the issue of arbitrage trading of the FTSE 100 stock index futures.
Kalogeropoulou, Joanna
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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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Stochastic measures of arbitrage [PDF]
, 2002 Arbitrage, risk-neutral probability measure, market integration, vector optimization, dual problem, duality gap, 90A09, 90B50, 90C29,
Balbás, Alejandro +3 more
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Testing The Indonesian Stock Market Arbitrage Pricing Model
Jurnal Manajemen, 2023 This research aims to explain the return and risk premium using an APT model from the Indonesian stock market. The study uses a two-stage regression model. This study uses a sample of stocks included in the Kompas100 index.
Wawan Ichwanudin, Roni Kambara
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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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