Results 41 to 50 of about 6,903 (211)
Scope of the arbitrage pricing theory [PDF]
Anali Ekonomskog fakulteta u Subotici, 2019 An important element of the positive portfolio theory which in addition to the Capital Asset Pricing Model (CAPM) provides an important contribution in terms of understanding the relationship between return and risk and pricing of assets in the capital ...
Leković Miljan
doaj
The Numerical Solution of Fractional Black-Scholes-Schrodinger Equation Using the RBFs Method
Advances in Mathematical Physics, 2020 In this paper, radial basis functions (RBFs) method was used to solve a fractional Black-Scholes-Schrodinger equation in an option pricing of financial problems. The RBFs method is applied in discretizing a spatial derivative process.
Naravadee Nualsaard +2 more
doaj +1 more source
Asian Option Pricing with Transaction Costs and Dividends under the Fractional Brownian Motion Model
Journal of Applied Mathematics, 2014 The pricing problem of geometric average Asian option under fractional Brownian motion is studied in this paper. The partial differential equation satisfied by the option’s value is presented on the basis of no-arbitrage principle and fractional formula.
Yan Zhang +3 more
doaj +1 more source
A Note on the Fundamental Theorem of Asset Pricing under Model Uncertainty
Risks, 2014 We show that the recent results on the Fundamental Theorem of Asset Pricing and the super-hedging theorem in the context of model uncertainty can be extended to the case in which the options available for static hedging (hedging options) are quoted with ...
Erhan Bayraktar +2 more
doaj +1 more source
Jurnal Ekonomi & Studi Pembangunan, 2018 This research attempts to analyze risk and stock return of consumer sector and construction sector at Indonesian Stock Exchange. This research used the documentation method to collect the data. Data has been taken from Bloomberg Terminal.
Christian Christian, Rinaldi Rustam
doaj
The Arbitrage Pricing Theorem with Incomplete Preferences [PDF]
This paper proves existence of equilibrium and the arbitrage pricing theorem for an asset exchange economy, where the individual's preferences may be incomplete or intransitive.
Erkan Yalcin, David Kelsey
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On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria [PDF]
The paper generalizes and refines the Fundamental Theorem of Asset Pricing of Dalang, Morton and Willinger in the following two respects: (a) the result is extended to a model with portfolio constraints; (b) versions of the no-arbitrage criterion based ...
Klaus Schürger +2 more
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Martingales and arbitrage: a new look [PDF]
, 2003 This paper addresses the equivalence between the absence of arbitrage and the existence of equivalent martingale measures. The equivalence will be established under quite weak assumptions since there are no conditions on the set of trading dates (it may ...
Balbás, Alejandro
core
Multiperiod asset pricing in the presence of transaction costs and taxes [PDF]
, 2000 This paper models the effect of transaction costs and taxes on asset pricing in a multi-period setting. It extends the study by Demody and Rockafellar (DR)(1991), where is was shown that term structure valuation is agent-specific owing to agents ...
Wang, P, Poon, S
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An Arbitrage Approach to the Pricing of Catastrophe Options Involving the Cox Process [PDF]
We investigate the valuation and hedging of catastrophe options, whose claim arrival process is modeled by the Cox process or a doubly stochastic Poisson process.
Ishimura, Naoyuki +2 more
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