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Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market
Hsieh, PeiLin Billy - 2017
This paper documents the fact that in options markets, the (percentage) implied volatility bid-ask spread increases at an increasing rate as the option's maturity date approaches. To explain this stylized fact, this paper provides a market microstructure model for the bid-ask spread in options...
Persistent link: https://www.econbiz.de/10012974407
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A Generalized Multiple-Factor Asset Pricing Model
Jarrow, Robert A. - 2013
This paper derives a generalized multiple-factor asset pricing model using only the assumption of no arbitrage. This … alphas imply arbitrage opportunities and not just abnormal expected returns. This model can potentially explain many of the …
Persistent link: https://www.econbiz.de/10013082783
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The Meaning of Market Efficiency
Jarrow, Robert A. - 2011
market is completely characterized by the absence of both arbitrage opportunities and dominated securities, an insight that …
Persistent link: https://www.econbiz.de/10013128756
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Optimal Trading of Arbitrage Opportunities with Market Impact
Jarrow, Robert A. - 2010
and the arbitrageur's trades reduce (or eliminate) future arbitrage opportunities. In contrast to the standard textbook … arbitrage trading strategy which has infinite present value, we show that an arbitrageur's expected discounted trading profits … are finite. In addition, we show that it is rational for arbitrageurs not to trade the first time that arbitrage profits …
Persistent link: https://www.econbiz.de/10013144619
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Positive Alphas, Abnormal Performance, and Illusory Arbitrage
Jarrow, Robert A. - 2010
represents an arbitrage opportunity. Second, we show that even if the correct factors and time varying betas are used, a non … bubble. We call this illusory arbitrage. Both facts are relevant to interpreting the existing empirical literature evaluating …
Persistent link: https://www.econbiz.de/10013144621
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Foreign Currency Bubbles
Jarrow, Robert A. - 2010
This paper develops a new model for studying foreign currency exchange rate bubbles. The model constructed is a modification of the Martingale-based bubble approach of Jarrow, Protter, and Shimbo [12], [13]. This model generates some new insights into our understanding of exchange rate bubbles...
Persistent link: https://www.econbiz.de/10013141966
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An empirical analysis of the Jarrow-van Deventer model for valuing non-maturity demand deposits
Janosi, Tibor; Jarrow, Robert A.; Zullo, Ferdinando - In: The journal of derivatives : the official publication … 7 (1999) 1, pp. 8-31
Persistent link: https://www.econbiz.de/10001432461
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Another look at the Ho-Lee bond option pricing model
Kim, Young Shin; Stoyanov, Stoyan V.; Račev, Svetlozar T. - In: The journal of derivatives : the official publication … 25 (2018) 4, pp. 48-53
Persistent link: https://www.econbiz.de/10011965408
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The Third Fundamental Theorem of Asset Pricing
Jarrow, Robert A. - 2012
The importance of market efficiency to derivative pricing is not well understood. The purpose of this paper is to explain this connection. The connection is established using the third fundamental theorem of asset pricing. The third fundamental theorem of asset pricing characterizes the...
Persistent link: https://www.econbiz.de/10013110519
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The Zero-Lower Bound on Interest Rates : Myth or Reality?
Jarrow, Robert A. - 2013
shown that a negative default-free spot rate of interest is consistent with an arbitrage-free term structure evolution in a …
Persistent link: https://www.econbiz.de/10013082665