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On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria

Evstigneev, Igor V.; Schürger, Klaus; Taksar, Michael I. - University of Bonn, Germany - 2002

following two respects: (a) the result is extended to a model with portfolio constraints; (b) versions of the no-arbitrage …

Persistent link: https://www.econbiz.de/10004989640

Anwendungen eines Binomialmodells der Zinsstruktur auf Marktdaten

von Borries, Daniel; Sandmann, Klaus - University of Bonn, Germany

Persistent link: https://www.econbiz.de/10005028352

A Term Structure Model and the Pricing of Interest Rate Derivative

Sandmann, K.; Sondermann, D. - University of Bonn, Germany - 1993

The paper developes a general arbitrage free model for the term structure of interest rates. The principal model is … support is derived for the spot rate return. The model permits the arbitrage free valuation of bond options and interest rate …

Persistent link: https://www.econbiz.de/10005032172

A Discrete Time Approach for European and American Barrier Options

Sandmann, K.; Reimer, M. - University of Bonn, Germany - 1995

The extension of the Black-Scholes option pricing theory to the valuation of barrier options is reconsidered. Working in the binomial framework of CRR we show how various types of barrier options can be priced either by backward induction or by closed binomial formulas. We also consider...

Persistent link: https://www.econbiz.de/10005032188

Zustandspreise und die Modellierung des Zinsänderungsrisikos

Sandmann, K.; Schlögl, E. - University of Bonn, Germany - 1993

Ein Bewertungsmaß das auf den sog. Zustandspreisen basiert, erlaubt in Binomialmodellen der Zinsstruktur die Konstruktion eines einheitlichen Modellrahmens und eines effizienten Algorithmus zur Implementation. Dieser Rahmen ist geeignet, die sich aus der Bedingung der Arbitragefreiheit...

Persistent link: https://www.econbiz.de/10004989595

Closed form representations for the minimal hedging portfolios of American type contingent claims

Vishnyakov, A. N.; Kramkov, D.O. - University of Bonn, Germany - 1994

In the framework of the classical Black and Scholes model of security market we present the explicit formulas of the minimal hedging portfolios for a number of reward processes of the ``classical'', lookback and Asian type. These results complement the solutions previously received by Mc~Kean,...

Persistent link: https://www.econbiz.de/10004968196

Pseudo--Arbitrage - A new Approach to Pricing and Hedging in Incomplete Markets

Sommer, Daniel - University of Bonn, Germany - 1998

possible in an incomplete markets framework the no--arbitrage arguments that have been developed in complete markets leads us … to defining the concept of pseudo--arbitrage. Building on this concept we are able to extend the no--arbitrage idea to a …

Persistent link: https://www.econbiz.de/10004968199

An Experimental Investigation of the Option Pricing Approach

Abbink, Klaus; Kuon, Bettina - University of Bonn, Germany - 1996

values the option with his arbitrage free price, which is independent of the probability of the stock movement. The … experimental data show that the traiders learn to exploit more arbitrage as they gain experience, however, they value the option by … probability values. Nevertheless, there are hints for learning towards the arbitrage free price, driven by the expected payoff …

Persistent link: https://www.econbiz.de/10004968214

On Short Rate Processes and Their Implications for Term Structure Movements

Schl; oumlgl, Erik; Sommer, Daniel - University of Bonn, Germany - 1994

We compare short rate diffusion models with respect to their implications for term structure movements, the plausiblity of which serves us as a criterion for evaluating the models. Analytically for Gauss-Markov models and numerically for a broader collection of models prevalent in the...

Persistent link: https://www.econbiz.de/10004968248

The Term Structure of Defaultable Bond Prices

Sch; oumlnbucher, Philipp J. - University of Bonn, Germany - 1996

defaultable bonds and give conditions under which these dynamics are arbitrage-free. These conditions are a drift restriction that …

Persistent link: https://www.econbiz.de/10004968256