Results 61 to 70 of about 54,842 (235)
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 +2 more
core +2 more sources
Arbitrage Pricing Theory for Idiosyncratic Variance Factors [PDF]
, 2022 Éric Renault +2 more
openalex +1 more source
, 2017 This paper studies long term investing by an investor that maximizes either expected utility from terminal wealth or from consumption. We introduce the concepts of a generalized stochastic discount factor (SDF) and of the minimum price to attain target ...
Leisen, Dietmar, Platen, Eckhard
core +1 more source
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
core +1 more source
A general equilibrium financial asset economy with transaction costs and trading constraints [PDF]
, 2003 This paper presents a unified framework for examining the general equilibrium effects of transactions costs and trading constraints on security market trades and prices.
Milne, Frank, Neave, Edwin
core
High-Dimensional Spatial Arbitrage Pricing Theory with Heterogeneous Interactions [PDF]
Zhaoxing Gao, Sihan Tu, Ruey S. Tsay
+4 more sources
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
Asset Pricing - A Brief Review [PDF]
I first introduce the early-stage and modern classical asset pricing and portfolio theories. These include: the capital asset pricing model (CAPM), the arbitrage pricing theory (APT), the consumption capital asset pricing model (CCAPM), the intertemporal
Li, Minqiang
core +1 more source
How does financial theory apply to catastrophe-linked derivatives? En empirical test of several princing models [PDF]
, 1999 The paper focuses on the PCS Catastrophe Insurance Option Contracts and empirically tests the degree of agreement between their real quotes and the standard fmancial theory.
Balbás, Alejandro +2 more
core +1 more source
JOIV: International Journal on Informatics VisualizationThis work presents a novel approach to determining the risk and return of crude oil stocks by employing Arbitrage Pricing Theory and Quantile Regression.
Sarit Maitra +3 more
doaj +1 more source