Results 81 to 90 of about 1,698,577 (227)
Arbitrage and Dynamic Asset Pricing [PDF]
This paper investigates the determinants of stock returns in the French stock market in an Arbitrage Pricing Theory framework. The analysis is conducted with monthly data from the French stock market over the period 1990-2001.
AROURI Mohamed El Hedi
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Virtual Arbitrage Pricing Theory [PDF]
, 1999 We generalize the Arbitrage Pricing Theory (APT) to include the contribution of virtual arbitrage opportunities. We model the arbitrage return by a stochastic process. The latter is incorporated in the APT framework to calculate the correction to the APT due to the virtual arbitrage opportunities.
openaire +3 more sources
Does Coarse Thinking Matter for Option Pricing? Evidence from an Experiment [PDF]
Mullainathan et al [Quarterly Journal of Economics, May 2008] present a model of coarse thinking or analogy based thinking. The essential idea behind coarse thinking is that people put situations into categories and the values assigned to attributes in a
Siddiqi, Hammad
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In traditional models, arbitrage in a given security is performed by a large number of diversified investors taking small positions against its mispricing.
Andrei Shleifer, Robert W. Vishny
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Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios [PDF]
This paper investigates the limit properties of mean-variance (mv) and arbitrage pricing (ap) trading strategies using a general dynamic factor model, as the number of assets diverge to infinity.
M. Hashem Pesaran, Paolo Zaffaroni
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Non-Linear Asset Valuation on Markets with Frictions [PDF]
This paper provides a non-linear pricing rule for the valuation of assets on financial markets with intermediaries.The non-linearity arises from the fact that dealers charge a price for their intermediation between buyer and seller.
De Waegenaere, A.M.B. +2 more
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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
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Dry Markets and Superreplication Bounds of American Derivatives [PDF]
This paper studies the impact of dry markets for underlying assets on the pricing of American derivatives, using a disrete time framework. Dry markets are characterized by the possibility of non-existence of trading at certain dates.
Lacerda, Ana, Matos, Joao Amaro de
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- A COMPUTATIONAL APPROACH TO THE FUNDAMENTAL THEOREM OF ASSET PRICING IN A SINGLE-PERIOD MARKET. [PDF]
In this paper we provide a new approach to the Fundamental Theorem of As-set Pricing. The proofof this result is usually based on Projection (Separation) Theorems and is far more intuitive.
Antonio Falcó +4 more
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