Arbitrage, Bubbles, and Valuation
نویسندگان
چکیده
منابع مشابه
No-Arbitrage Valuation of Contingent Claims in Discrete Time
Following Harrison and Kreps (1979) and Harrison and Pliska (1981), the valuation of contingent claims in continuous-time and discrete-time finite state space settings is generally based on the no-arbitrage principle, and the use of an equivalent martingale measure. In contrast, for some of the most popular discrete time processes used in finance, such as GARCH processes, the existing literatur...
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Arbitrage-free models for valuing interest rate securities posit that stochastic changes in spot or forward interest rates (forward rate " speed ") follow a diffusion process. This paper extends the Heath, Jarrow and Morton (1992, HJM) framework by allowing diffusive shocks to both the " speed " and " acceleration " of forward rates. The arbitrage-free restriction on forward rates is identified...
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We develop an arbitrage-free valuation framework for bilateral counterparty risk, where collateral is included with possible re-hypothecation. We show that the adjustment is given by the sum of two option payoff terms, where each term depends on the netted exposure, i.e. the difference between the on-default exposure and the pre-default collateral account. We then specialize our analysis to Cre...
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This paper analyzes the joint influence of the quality of a bank’s loan portfolio, the bank’s maturity gap and its deposit rate policy on the value of deposit insurance in an arbitrage-free Basel II consistent framework. We develop and apply a two-stage structural model of a bank where deposit insurance is a European put option on the loan portfolio, the default of each loan is driven by the bo...
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We study the no arbitrage characterization of asset prices in the presence of capital gains and income taxes. The distinguishing feature of our analysis is that we impose on the model two important features of the tax code that have received little attention in the academic literature: the limited use of capital losses and the inability to wash sell. We show that under remarkably mild condition...
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ژورنال
عنوان ژورنال: International Economic Review
سال: 1997
ISSN: 0020-6598
DOI: 10.2307/2527383