Results 71 to 80 of about 87,733 (349)

Strategic option pricing

Economics and Business Review, 2020
In this paper an extension of the well-known binomial approach to option pricing is presented. The classical question is: What is the price of an option on the risky asset?
Bieta Volker, Broll Udo, Siebe Wilfried
doaj   +1 more source

Forecasting Natural Gas Prices in Real Time

Journal of Applied Econometrics, EarlyView.
ABSTRACT This paper provides a comprehensive analysis of the forecastability of the real price of natural gas in the United States at the monthly frequency considering a universe of models that differ in complexity and economic content. We find that considerable reductions in mean‐squared prediction error relative to a no‐change benchmark can be ...
Christiane Baumeister, Florian Huber, Thomas K. Lee, Francesco Ravazzolo   +3 more
wiley   +1 more source

Optimal Market-Neutral Multivariate Pair Trading on the Cryptocurrency Platform

International Journal of Financial Studies
This research proposes a novel arbitrage approach in multivariate pair trading, termed the Optimal Trading Technique (OTT). We present a method for selectively forming a “bucket” of fiat currencies anchored to cryptocurrency for monitoring and exploiting
Hongshen Yang, Avinash Malik
doaj   +1 more source

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
doaj   +1 more source

Arbitraging mispriced assets with separation portfolios to lessen total risk [PDF]

This paper expands on a procedure to arbitrage mispriced assets against the benchmark provided by the Security Market Line, but using only separation portfolios to put up a feasible portfolio with the same beta as the mispriced asset and the least total ...
Rodolfo Apreda
core  

Doubtful Receivables' Risk and Its Impact on Stock Returns

Journal of Corporate Accounting &Finance, EarlyView.
ABSTRACT The current research proposes a previously unknown source of risk in relation to companies’ doubtful receivables. Higher relative doubtful receivables present a risk for companies' future cash flows. Hence, the article discusses an innovative risk measure associated with companies’ doubtful receivables.
Roi D. Taussig
wiley   +1 more source

Arbitrage-free pricing of CVA for cross-currency swap with wrong-way risk under stochastic correlation modeling framework [PDF]

, 2021
Ashish Kumar, László Márkus, Norbert Hári   +2 more
openalex   +1 more source

DAX Index Futures: Mispricing and Arbitrage in German Markets [PDF]

The paper reports the results of an empirical study of the price relation between the German Performance Stock Index, DAX, and DAX futures. An ex-ante arbitrage strategy based on arbitrage signals is analyzed.
Bühler, Wolfgang, Kempf, Alexander
core  

Heterogeneity and Drivers of Chinese Manufacturing FDI in Africa: Evidence From Angola and Ethiopia

Journal of International Development, EarlyView.
ABSTRACT This article examines the heterogeneity and drivers of Chinese manufacturing foreign direct investment (FDI) in Africa through a comparative analysis of Angola and Ethiopia. Drawing on 8 years of fieldwork (2015–2023), it develops a typology distinguishing market‐embedded firms from global production network (GPN)‐integrated firms, linking ...
Weiwei Chen
wiley   +1 more source