Results 11 to 20 of about 1,202,647 (294)
Price functionals with bid–ask spreads: an axiomatic approach [PDF]
Journal of Mathematical Economics, 2000 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Elyes Jouini
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Consistency of option prices under bid–ask spreads [PDF]
Mathematical Finance, 2019 AbstractGiven a finite set of European call option prices on a single underlying, we want to know when there is a market model that is consistent with these prices. In contrast to previous studies, we allow models where the underlying trades at a bid–ask spread. The main question then is how large (in terms of a deterministic bound) this spread must be
Gerhold, Stefan, Gülüm, Ismail Cetin
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Dynamic bid–ask pricing under Dempster-Shafer uncertainty
Journal of Mathematical Economics, 2023 The paper introduces time-homogeneous Markov multiplicative processes under Dempster-Shafer uncertainty (namely, DS-multiplicative binomial processes) and defines the induced conditional Choquet expectation operator and considers a market composed by a frictionless risk-free bond and a non-dividend paying stock with frictions, and proves an analog of ...
Cinfrignini A. +2 more
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The Survey on the impact of trading halts on liquidity and price volatility in Tehran Stock Exchange [PDF]
راهبرد مدیریت مالی, 2013 This research examines the impacts of trading halts on liquidity and price volatility of companies listed in Tehran Stock Exchange. This study examines abnormal changes of trading volumes, bid-ask spreads, market depth at the best-quotes around trading ...
ebrahim abbasi, fatemeh moallemi
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Jurnal Ekonomi Modernisasi, 2009 This study aimed to analyze the effect of stock price, shares of Tradimg volume activity and the risk of bid-ask spread. And test them with statistical tools.
Lulu Nurul Istanti
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No-Arbitrage Principle in Conic Finance
Risks, 2020 In a one price economy, the Fundamental Theorem of Asset Pricing (FTAP) establishes that no-arbitrage is equivalent to the existence of an equivalent martingale measure.
Mehdi Vazifedan, Qiji Jim Zhu
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Mutual Fund Transaction Costs and Their Effect on Funds Performance [PDF]
تحقیقات مالی, 2022 Objective: Iranian mutual funds’ average turnover rate stood at 330% in the years from 2001 to 2007. Such a high rate could lead to excessive trading costs for investors without necessarily bringing in high returns.
Ali Ebrahim Nejad +2 more
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Feedback and efficiency in limit order markets [PDF]
, 2007 A consistency criterion for price impact functions in limit order markets is proposed that prohibits chain arbitrage exploitation. Both the bid-ask spread and the feedback of sequential market orders of the same kind onto both sides of the order book are
Challet, Damien
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Smiles, Bid-ask Spreads and Option pricing [PDF]
European Financial Management, 2001 Given the evidence provided by Longstaff (1995), and Peña, Rubio and Serna (1999) a serious candidate to explain the pronounced pattern of volatility estimates across exercise prices might be related to liquidity costs. Using all calls and puts transacted between 16:00 and 16:45 on the Spanish IBEX‐35 index futures from January 1994 to October 1998 we ...
Peña, Juan Ignacio +2 more
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