Results 71 to 80 of about 6,903 (211)
Numeraire Invariance and application to Option Pricing and Hedging
This is a short version of the paper of Exchange Options (2007), concentrating on the principle of numeraire invariance. It emphasizes application to unique pricing in arbitrage-free model, the derivation of hedge ratios and the PDE when price ratios are
Jamshidian, Farshid
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Project valuation and investment decisions: CAPM versus arbitrage
This paper shows that (i) project valuation via disequilibrium NPV+CAPM contradicts valuation via arbitrage pricing, (ii) standard CAPM-minded decision makers may fail to profit from arbitrage opportunities, (iii) standard CAPM-based valuation violates ...
Magni, Carlo Alberto
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Statistical Arbitrage with Default and Collateral [PDF]
In this paper we study the implications of the absence of statistical arbitrage opportunities (SAO) in a two-period incomplete market economy where default is allowed but there are collateral requirements.
Ana Lacerda, José Fajardo
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PROJECTIVE SYSTEM APPROACH TO THE MARTINGALE CHARACTERIZATION OF THE ABSENCE OF ARBITRAGE [PDF]
The equivalence between the absence of arbitrage and the existence of an equivalent martingale measure fails when an infinite number of trading dates is considered. By enlarging the set of states of nature and the probability measure through a projective
María José Muñoz-Bouzo +2 more
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RISK AND RETURN IN AGRICULTURE: EVIDENCE FROM AN EXPLICIT-FACTOR ARBITRAGE PRICING MODEL
This article develops and estimates an explicit-factor Arbitrage Pricing Theory (APT) model in an endeavor to uncover (a) the systematic risk properties of returns to agricultural assets, (b) the relationship between agricultural returns and returns on ...
Bjornson, Bruce, Innes, Robert
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Consistent Price Systems and Arbitrage Opportunities of the Second Kind in Models with Transaction Costs. [PDF]
In contrast with the classical models of frictionless financial markets, market models with proportional transaction costs, even satisfying usual no-arbitrage properties, may admit arbitrage opportunities of the second kind.
Lépinette-Denis, Emmanuel +1 more
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Dynamic Arbitrage Gaps for Financial Assets [PDF]
In this paper we are concerned with the existence of a dynamic arbitrage gap that evolves out of an adjustment process for disequilibrium prices, within a complex dynamics framework which takes into account the market microstructure and transactions ...
Rodolfo Apreda
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Option-pricing in incomplete markets: the hedging portfolio plus a risk premium-based recursive approach [PDF]
, 2005 Consider a non-spanned security $C_{T}$ in an incomplete market. We study the risk/return tradeoffs generated if this security is sold for an arbitrage-free price $\hat{C_{0}}$ and then hedged. We consider recursive "one-period optimal" self-financing
Ibáñez, Alfredo
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Real World Pricing of Long Term Contracts [PDF]
Long dated contingent claims are relevant in insurance, pension fund management and derivative pricing. This paper proposes a paradigm shift in the valuation of long term contracts, away from classical no-arbitrage pricing towards pricing under the real ...
Eckhard Platen
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Applied SciencesWith the deployment of Hydrogen-enriched Compressed Natural Gas (HCNG) technology, establishing market mechanisms adapted to its physical characteristics is crucial for renewable energy accommodation.
Chunyan Li +6 more
doaj +1 more source