Search Results - subject:"Arbitrage"

Method for choosing appropriate investment periods to make arbitrage profit and explain stock returns

Peymany, Moslem - In: Serbian journal of management : an international … 17 (2022) 2, pp. 271-287

Persistent link: https://www.econbiz.de/10013490592

Applying ESG-based arbitrage with ETFs

Rompotis, Gerasimos G. - In: International journal of accounting and finance 11 (2022) 2, pp. 99-114

Persistent link: https://www.econbiz.de/10014306703

Convexity arbitrage : the idea which does not work

Stádník, Bohumil - In: Cogent economics & finance 10 (2022) 1, pp. 1-16

research answers the question whether it is possible to successfully use a convexity arbitrage strategy in a bond portfolio in … financial practice. It should provide a positive expected excess return and a small or zero potential loss. Convexity arbitrage … has been described in academic literature before, but an assessment of its practical success is lacking. Arbitrage …

Persistent link: https://www.econbiz.de/10013463093

The market efficiency analysis of China’s copper options based on risk-free arbitrages

Zhang, Huiming; Ma, Zhen; Qian, Siji - In: Applied economics 56 (2024) 15, pp. 1834-1862

Persistent link: https://www.econbiz.de/10014473235

Fundamental theorem of asset pricing with acceptable risk in markets with frictions

Arduca, Maria; Munari, Cosimo-Andrea - In: Finance and stochastics 27 (2023) 3, pp. 831-862

Persistent link: https://www.econbiz.de/10014328991

Simulation of Arbitrage-Free Implied Volatility Surfaces

Cont, Rama; Vuletić, Milena - 2023

We present a computationally tractable method for simulating arbitrage free implied volatility surfaces. We illustrate … arbitrage-free implied volatility surfaces. Our approach conciliates static arbitrage constraints with a realistic …

Persistent link: https://www.econbiz.de/10014258455