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Arbitrage free approximations to candidate volatility surface quotations

Madan, Dilip B.; Schoutens, Wim - In: Journal of risk and financial management : JRFM 12 (2019) 2/69, pp. 1-21

It is argued that the growth in the breadth of option strikes traded after the financial crisis of 2008 poses difficulties for the use of Fourier inversion methodologies in volatility surface calibration. Continuous time Markov chain approximations are proposed as an alternative. They are shown...

Persistent link: https://www.econbiz.de/10012022144

Capital structure arbitrage under a risk-neutral calibration

Zeitsch, Peter J. - In: Journal of risk and financial management : JRFM 10 (2017) 1, pp. 1-23

arbitrage opportunities is illustrated. The approach seeks to hedge the volatility risk, or vega, as opposed to the exposure … from the underlying equity itself, or delta. The results question the efficacy of the common arbitrage strategy of only …

Persistent link: https://www.econbiz.de/10011619118

Pricing product options and using them to complete markets for functions of two underlying asset prices

Madan, Dilip B.; Wang, King - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-19

Options paying the product of put and/or call option payouts at different strikes on two underlying assets are observed to synthesize joint densities and replicate differentiable functions of two underlying asset prices. The pricing of such options is undertaken from three perspectives. The...

Persistent link: https://www.econbiz.de/10012626539

The no-arbitrage pricing of non-traded assets

Jarrow, Robert A. - In: Annals of finance 19 (2023) 3, pp. 401-418

Persistent link: https://www.econbiz.de/10014380572

Negative call prices

Ruf, Johannes - In: Annals of finance 9 (2013) 4, pp. 787-794

Persistent link: https://www.econbiz.de/10010196568

Relative asset price bubbles

Falafala, Roseline Bilina; Jarrow, Robert A.; Protter, … - In: Annals of finance 12 (2016) 2, pp. 135-160

Persistent link: https://www.econbiz.de/10011555672

Fundamental theorem of asset pricing under fixed and proportional transaction costs

Brown, Martin; Zastawniak, Tomasz - In: Annals of finance 16 (2020) 3, pp. 423-433

Persistent link: https://www.econbiz.de/10012496392

Statistical arbitrage with mean-reverting overnight price gaps on high-frequency data of the S&P 500

Stübinger, Johannes; Schneider, Lucas - In: Journal of risk and financial management : JRFM 12 (2019) 2/51, pp. 1-19

This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting jump-diffusion model and …

Persistent link: https://www.econbiz.de/10012022240

Can salience theory explain investor behaviour? : real-world evidence from the cryptocurrency market

Chen, Rongxin; Lepori, Gabriele M.; Tai, Chung-Ching; … - In: International review of financial analysis 84 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013472901

Index tracking and beta arbitrage effects in comovement

Liao, Yixin; Coakley, Jerry; Kellard, Neil - In: International review of financial analysis 83 (2022), pp. 1-9

Persistent link: https://www.econbiz.de/10013461660