نتایج جستجو برای: arbitrage

تعداد نتایج: 2756  

2001
Stewart Hodges

The term ‘no-good-deal pricing’ in this paper encompasses pricing techniques based on the absence of attractive investment opportunities – good deals – in equilibrium. We borrowed the term from [8] who pioneered the calculation of price bands conditional on the absence of high Sharpe Ratios. Alternative methodologies for calculating tighter-than-no-arbitrage price bounds have been suggested by ...

Journal: :Finance and Stochastics 2007
Dimitri De Vallière Yuri Kabanov Christophe Stricker

This note deals with criteria of absence of arbitrage opportunities for an investor acting in a market with friction and having a limited access to the information flow. We develop a mathematical scheme covering major models of financial markets with transaction costs and prove several results including a criterion for the robust no-arbitrage property and a hedging theorem.

Journal: :Finance and Stochastics 2003
Patrick Cheridito

We construct arbitrage strategies for a financial market that consists of a money market account and a stock whose discounted price follows a fractional Brownian motion with drift or an exponential fractional Brownian motion with drift. Then we show how arbitrage can be excluded from these models by restricting the class of trading strategies.

Journal: :Int. J. Approx. Reasoning 2008
Mark J. Schervish Teddy Seidenfeld Joseph B. Kadane

We explore two connections between the concepts of coherence, as defined by de Finetti, and arbitrage-free asset pricing in financial markets. We contrast these concepts when random quantities may be unbounded. And we discuss some of the consequences for arbitrage theory when coherent previsions are merely finitely (but not countably) additive. 2007 Elsevier Inc. All rights reserved.

2002
Todd L. Cherry Jason F. Shogren Peter Bohm Kate Johnson

This paper explores whether the power of arbitrage to induce more rational behavior in market and nonmarket settings extends to diverse decision-making tasks over preferences for gambles. We examine how arbitrage in a preference reversal setting affects behavior for the valuation of low probability food safety risks, the Allais Paradox, and the Ellsberg paradox. We design a three-stage experime...

1992
JAMES A. TILLEY

A stochastic interest rate generator is a valuable actuarial tool. The parameters that specify a stochastic model of interest rates can be adjusted to make the model arbitrage-free, or they can be adjusted to accommodate an individual investor's subjective views. The arbitrage-free settings of the parameters must be used when pricing streams of interest-rate-contingent cash flows, for example, ...

Journal: :SSRN Electronic Journal 2004

Journal: :SSRN Electronic Journal 2012

Journal: :SSRN Electronic Journal 2004

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