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No-arbitrage pricing for dividend-paying securities in discrete-time markets with transaction costs
Bielecki, Tomasz R.; Cialenco, Igor; Rodriguez, Rodrigo - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 673-701
Persistent link: https://www.econbiz.de/10011350542
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Arbitrage bounds for prices of weighted variance swaps
Davis, Mark H. A.; Obłój, Jan; Raval, Vimal - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 821-854
Persistent link: https://www.econbiz.de/10011308161
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Multivariate stable futures prices
Cheng, B. N. - In: Mathematical finance : an international journal of … 5 (1995) 2, pp. 133-153
Persistent link: https://www.econbiz.de/10001185054
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Positive alphas, abnormal performance, and illusory arbitrage
Jarrow, Robert A.; Protter, Philip E. - In: Mathematical finance : an international journal of … 23 (2013) 1, pp. 39-56
Persistent link: https://www.econbiz.de/10009712563
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No marginal arbitrage of the second kind for high production regimes in discrete time production-investment models with proportional transaction costs
Bouchard, Bruno; Huu, Adrien Nguyen - In: Mathematical finance : an international journal of … 23 (2013) 2, pp. 366-386
Persistent link: https://www.econbiz.de/10009722532
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Arbitrage with fractional Brownian motion
Rogers, Leonard C. G. - In: Mathematical finance : an international journal of … 7 (1997) 1, pp. 95-105
Persistent link: https://www.econbiz.de/10001213305
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Investment and arbitrage opportunities with short sales constraints
Carassus, Laurence - In: Mathematical finance : an international journal of … 8 (1998) 3, pp. 169-178
Persistent link: https://www.econbiz.de/10001245924
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Option pricing using the term structure of interest rates to hedge systematic discontinuities in asset returns
Jarrow, Robert A. - In: Mathematical finance : an international journal of … 5 (1995) 4, pp. 311-336
Persistent link: https://www.econbiz.de/10001189278
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Pairs trading of Chinese and international commodities
Fernandez-Perez, Adrian; Frijns, Bart; Indriawan, Ivan; … - In: Applied economics 52 (2020) 48, pp. 5203-5217
Persistent link: https://www.econbiz.de/10012307208
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Non-linear dependence modelling with bivariate copulas : statistical arbitrage pairs trading on the S&P 100
Krauss, Christopher; Stübinger, Johannes - In: Applied economics 49 (2017) 52, pp. 5352-5369
Persistent link: https://www.econbiz.de/10011845139