نتایج جستجو برای: arbitrage

تعداد نتایج: 2756  

Journal: :SSRN Electronic Journal 2008

Journal: :SSRN Electronic Journal 2012

Journal: :Mathematical Finance 2021

The notion of statistical arbitrage introduced in Bondarenko (2003) is generalized to -arbitrage corresponding trading strategies which yield positive gains on average a class scenarios described by -algebra . This contains classical as special case. Admitting general static payoffs strategies, done Kassberger and Liebmann (2017) the case one pricing measure, leads -arbitrage. We show that even...

2003
RAGNAR NORBERG

We consider a financial market driven by a continuous time homogeneous Markov chain. Conditions for absence of arbitrage and for completeness are spelled out, non-arbitrage pricing of derivatives is discussed, and details are worked out for some cases. Closed form expressions are obtained for interest rate derivatives. Computations typically amount to solving a set of first order partial differ...

2008
DANIEL FERNHOLZ IOANNIS KARATZAS

In a Markovian model for a financial market, we characterize the best arbitrage with respect to the market portfolio that can be achieved using non-anticipative investment strategies, in terms of the smallest positive solution to a parabolic partial differential inequality; this is determined entirely on the basis of the covariance structure of the model. The solution is also used to generate t...

Journal: :computational methods for differential equations 0
ali beiranvand university of tabriz karim ivaz university of tabriz

in this paper, installment options on the underlying assetwhich evolves according to black-scholes model and pays constant dividendto its owner will be considered. applying arbitrage pricing theory,the non-homogeneous parabolic partial differential equation governingthe value of installment option is derived. then, penalty method is usedto value the european continuous installment call option.

Journal: :Relations industrielles 1958

Journal: :Decisions in Economics and Finance 2008

Journal: :The Journal of Finance 1997

Journal: :Review of Financial Studies 1999

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