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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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Turning alphas into betas : arbitrage and endogenous risk
Cho, Thummim - In: Journal of financial economics 137 (2020) 2, pp. 550-570
Persistent link: https://www.econbiz.de/10012652836
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Do limits to arbitrage explain the benefits of volatility-managed portfolios?
Barroso, Pedro; Detzel, Andrew - In: Journal of financial economics 140 (2021) 3, pp. 744-767
Persistent link: https://www.econbiz.de/10013259593
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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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Global currency hedging with common risk factors
Opie, Wei; Riddiough, Steven J. - In: Journal of financial economics 136 (2020) 3, pp. 780-805
Persistent link: https://www.econbiz.de/10012545731
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Dissecting currency momentum
Zhang, Shaojun - In: Journal of financial economics 144 (2022) 1, pp. 154-173
Persistent link: https://www.econbiz.de/10013407087
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Arbitrage crashes and the speed of capital
Mitchell, Mark; Pulvino, Todd - In: Journal of financial economics 104 (2012) 3, pp. 469-490
Persistent link: https://www.econbiz.de/10009622475
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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