Similar Search Results

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

The No-arbitrage Pricing of Non-traded Assets

Jarrow, Robert A. - 2023

This paper shows how to uniquely price non-traded assets using no-arbitrage in an otherwise friction-less market …

Persistent link: https://www.econbiz.de/10014355494

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

A benchmark model for financial markets

Platen, Eckhard - 2001

to be locally arbitrage free, however, it still permits some form of arbitrage. Finally, a subclass of arbitrage free … portfolio ; arbitrage amount …

Persistent link: https://www.econbiz.de/10009614289

Inference, arbitrage, and asset price volatility

Adrian, Tobias (contributor) - 2004 - [Elektronische Ressource], Rev. February 2008

, informed investors, and noise traders. Arbitrageurs face a trade-off between arbitrage and inference: they would like to buy … assets in response to temporary price declines (the arbitrage effect) but sell when prices decline permanently (the inference … effect). In equilibrium, the presence of arbitrageurs increases volatility when the inference effect dominates the arbitrage …

Persistent link: https://www.econbiz.de/10002101431

Inference, arbitrage, and asset price volatility

Adrian, Tobias - In: Journal of financial intermediation 18 (2009) 1, pp. 49-64

Persistent link: https://www.econbiz.de/10003813178

Option Pricing in an Investment Risk-Return Setting

Kim, Young Shin - 2019

In this paper, we combine modern portfolio theory and option pricing theory so that a trader who takes a position in a European option contract and the underlying assets can construct an optimal portfolio such that at the moment of the contract's maturity the contract is perfectly hedged. We...

Persistent link: https://www.econbiz.de/10012865720

Financial Intermediation, Asset Prices and Macroeconomic Dynamics

Adrian, Tobias - 2010

Fluctuations in the aggregate balance sheets of financial intermediaries provide a window on the joint determination of asset prices and macroeconomic aggregates. We document that financial intermediary balance sheets contain strong predictive power for future excess returns on a broad set of...

Persistent link: https://www.econbiz.de/10013149404

Regression-Based Estimation of Dynamic Asset Pricing Models

Adrian, Tobias - 2014

We propose regression-based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross-sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The...

Persistent link: https://www.econbiz.de/10013068063

Leverage asset pricing

Adrian, Tobias; Mönch, Emanuel; Shin, Hyun Song - 2013

We investigate intermediary asset pricing theories empirically and find strong support for models that have intermediary leverage as the relevant state variable. A parsimonious model that uses detrended dealer leverage as a price-of-risk variable, and innovations to dealer leverage as a pricing...

Persistent link: https://www.econbiz.de/10009787499