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Non-parametric analysis of equity arbitrage

Vortelinos, Dimitrios I. - In: International Review of Economics & Finance 33 (2014) C, pp. 199-216

Arbitrage is non-parametrically examined and empirically analyzed in US equity markets. Firstly, analyzed are the … properties of arbitrage; and secondly, the factors explaining arbitrage are tested. Empirical analysis concerns a decade of … (log base) significantly quantifies arbitrage in the US equity markets. The properties of the log-base arbitrage are …

Persistent link: https://www.econbiz.de/10010930966

Borrowing Constraint and the Effect of Option Introduction

Amira, Khaled; Bennour, Khaled - Volkswirtschaftliche Fakultät, … - 2010

This paper studies how options trading, by circumventing constraints on borrowing, permits optimistic investors to hold the desired portfolio. Unconstrained investors proceed to a portfolio rebalancing by constructing a zero-income portfolio that consists of a short position in the option, a...

Persistent link: https://www.econbiz.de/10008695108

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

The Direct Approach to Debt Option Pricing

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

We review the continuous--time literature on the so-- called direct approach to bond option pricing. Going back to Ball and Torous (1983), this approach models bond price processes directly (i.e. without reference to interest rates or state variable processes) and applies methods that Black and...

Persistent link: https://www.econbiz.de/10004968258

Closed Form Term Structure Derivatives in a Heath-Jarrow- Morton Model with Log-Normal Annually Compounded Interest Rates

Sondermann, D.; Miltersen, K. - University of Bonn, Germany - 1994

Starting with observable annually compounded forward rates we derive a term structure model of interest rates. The model relies upon the assumption that a specific set of annually compounded forward rates is log-normally distributed. We derive solutions for interest rate caps and floors as well...

Persistent link: https://www.econbiz.de/10004968277

South Sea Company Subscription Shares and Warrant Values in 1720

Shea, Gary S. - Centre for Research into Industry, Enterprise, Finance … - 2004

The values of the famous Subscription Shares issued by the South Sea Company in 1720 have to be split into two components before they can be understood. One component was a fractional claim upon one original share in the firm. The other component, however, was a bundle of share warrants. The...

Persistent link: https://www.econbiz.de/10005807950

Hedging for the Long Run

Platen, Eckhard; Hulley, Hardy - Finance Discipline Group, Business School - 2008

fulfils a minimal no-arbitrage condition for an economically viable financial market. Furthermore, we demonstrate that … illustrating and clarifying several points on asset price bubbles and the economics of arbitrage. …

Persistent link: https://www.econbiz.de/10004984487

A Unifying Approach to Asset Pricing

Platen, Eckhard - Finance Discipline Group, Business School - 2008

paper explains that pricing by classical no-arbitrage arguments is, in general, not unique and may lead to overpricing. In …

Persistent link: https://www.econbiz.de/10004984601

Dynamic State Tameness

Londoño, Jaime - EconWPA - 2005

An extension of the idea of state tameness is presented in a dynamic framework. The proposed model for financial markets is rich enough to provide analytical tools that are mostly obtained in models that arise as the solution of SDEs with deterministic coefficients. In the presented model the...

Persistent link: https://www.econbiz.de/10005134649

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

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