Results 21 to 30 of about 1,698,577 (227)
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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Arbitrage Pricing Theory for Idiosyncratic Variance Factors
, 2018 We develop an arbitrage pricing theory framework extension to study the pricing of squared returns/volatilities. We analyze the interplay between factors at the return level and those in idiosyncratic variances.
É. Renault +2 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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ARBITRAGE-FREE OPTION PRICING MODELS [PDF]
Journal of the Australian Mathematical Society, 2009 AbstractWe describe a scheme for constructing explicitly solvable arbitrage-free models for stock price. This is used to study a model similar to one introduced by Cox and Ross, where the volatility of the stock is proportional to the square root of the stock price.
Bell, Denis, Stelljes, Scott
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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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Some economic remarks on arbitrage theory [PDF]
, 2001 Today's primarily mathematically oriented arbitrage theory does not address some economically important aspects of pricing. These are, first, the implicit conjecture that there is 'the' price of a portfolio, second, the exact formulation of no-arbitrage,
Nietert, Bernhard, Wilhelm, Jochen
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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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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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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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