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Arbitrage Pricing Theory: Evidence From An Emerging Stock Market
Lahore Journal of EconomicsThe development of financial equilibrium asset pricing models has been the most important area of research in modern financial theory. These models are extensively tested for developed markets.
Javed Iqbal, Aziz Haider
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Asset pricing in global scenario: a bibliometric analysis [PDF]
IIM Ranchi Journal of Management Studies, 2023 Purpose – This study aims to organise and present the development of asset pricing models in the international environment. The stock market integration and cross-listing lead us to another objective of bibliometric analysis for “International Asset ...
Aditya Keshari, Amit Gautam
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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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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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CAPM or APT? A Comparison of Two Asset Pricing Models for Malaysia
Malaysian Management Journal, 2020 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 +2 more
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An Analysis of the Impact of Selected Factors on the Bond Market
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2018 Exchange rate risk is important factor for the valuation of capital asset on international markets. According to the International Arbitrage Pricing Theory currency movements affect the prices of capital assets and associated risk premiums.
Blanka Francová
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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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Organum, 2021 In doing investment, an investor certainly avoids risk; thus, the investor needs a model in making predictions to forecast the return of shares. There are two models to predict this: Capital Asset Pricing Capital (CAPM) and Arbitrage Pricing Theory (APT).
Elly Susanti +3 more
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Rating of LQ-45 stock index performance credibility in Indonesia Stock Exchange
Jurnal Perspektif Pembiayaan dan Pembangunan Daerah, 2019 This study aims to analyze stock performance credibility using the Capital Asset Pricing Model (CAPM) method, the Arbitrage Pricing Theory (APT) method, the Fama-French Three-Factor Model (FFTFM), and the 2013-2017 LQ-45 Stock Performance rating.
Tona Aurora Lubis +2 more
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Stochastic measures of arbitrage [PDF]
, 2002 Arbitrage, risk-neutral probability measure, market integration, vector optimization, dual problem, duality gap, 90A09, 90B50, 90C29,
Balbás, Alejandro +3 more
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