Results 71 to 80 of about 1,698,577 (227)

A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks [PDF]

We propose a nonparametric method for estimating the pricing formula of a derivative asset using learning networks. Although not a substitute for the more traditional arbitrage-based pricing formulas, network pricing formulas may be more accurate and ...
Andrew W. Lo, James M. Hutchinson, Tomaso Poggio   +2 more
core  

Optimising Grid-Connected PV-Battery Systems for Energy Arbitrage and Frequency Containment Reserve

Batteries
This study introduces a novel method for optimising the size and control strategy of grid-connected, utility-scale photovoltaic (PV) systems with battery storage aimed at energy arbitrage and frequency containment reserve (FCR) services.
Rodolfo Dufo-López, Juan M. Lujano-Rojas, Jesús S. Artal-Sevil, José L. Bernal-Agustín   +3 more
doaj   +1 more source

How to Test the Arbitrage Pricing Theory (APT) [PDF]

Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2007
As a response to critiques about the capital asset pricing model (CAPM), Ross (1976) proposed Arbitrage Pricing Theory (APT) as an alternative model with fewer assumptions, and use of multi risk factors affecting assets prices instead of one.
Ghassem Mohsseni Demneh
doaj  

Real-world options: smile and residual risk [PDF]

, 1995
We present a theory of option pricing and hedging, designed to address non-perfect arbitrage, market friction and the presence of `fat' tails. An implied volatility `smile' is predicted.
Bouchaud, Jean-Philippe, Iori, Giulia, Sornette, Didier   +2 more
core   +2 more sources

Pricing strategies by European Low Cost Carriers. [PDF]

We introduce an on-line pricing tactic where airlines post, at the same time and for the same flight, fares in different currencies that violate the law of One Price.
Claudio A. Piga, Enrico Bachis
core  

Limit to Arbitrage and Distress Risk Puzzle in Vietnam: Does Corporate Bankruptcy Regulation Matter?

SAGE Open
This study is the first to examine how limit-to-arbitrage factors impact the distress risk puzzle in Vietnam before and after implementing bankruptcy regulations.
Khoa Dang Duong, Ngoc Thi Thanh Nguyen, Nga Thu Thi Do, Hoa Thanh Phan Le   +3 more
doaj   +1 more source

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.
David Kelsey, Erkan Yalcin
core  

CAPM or APT? A Comparison of Two Asset Pricing Models for Malaysia

Malaysian Management Journal, 1999
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, Ahmadu Umaru Sanda, G.S. Gupta   +2 more
doaj  

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.
Fujita, Takahiko, Ishimura, Naoyuki, Tanaka, Daichi   +2 more
core  

Choquet Integrals With Respect to Non-Monotonic Set Functions [PDF]

This paper introduces the signed Choquet integral, i.e., a nonmonotonic generalization of the Choquet integral. Applications to welfare theory, multi-period optimization, and asset pricing are described.Choquet integral;comonotonicity;arbitrage;time ...
De Waegenaere, A.M.B., Wakker, P.P.
core   +1 more source