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In this paper, we consider a family of complete or incomplete Financial models such that the price processes of the Financial assets converge in distribution to those in a limit model. Different authors pointed out that we do not have necessarily convergence of the arbitrage pricing intervals in...
Persistent link: https://www.econbiz.de/10010861455
The theory of asset pricing, which takes its roots in the Arrow-Debreu model (Theory of value [1959, chap. 7]), the … only if it is, when appropriately renormalized, a martingale for some equivalent probability measure. The theory of pricing …
Persistent link: https://www.econbiz.de/10005076947
This paper derives a sufficient and necessary condition for arbitrage-free pricing, by the mathematical definition of linear dependency. It states that any pricing function that can be expressed as a linear combination of some of its partial derivatives inherently possesses the arbitrage-free...
Persistent link: https://www.econbiz.de/10009218998
Recent research suggests that fractional Brownian motion can be used to model the long-range dependence structure of the stock market. Fractional Brownian motion is not a semi-martingale and arbitrage opportunities do exist, however. Hu and Øksendal [Infin. Dimens. Anal., Quant. Probab. Relat....
Persistent link: https://www.econbiz.de/10004966873
perturbation theory of Markovian semigroups, we study the relationship between the pricing semigroup and the forward semigroup, and …
Persistent link: https://www.econbiz.de/10004966879
Merton jump-diffusion model. As a by product of the general theory we also extend the Hansen-Jagannathan bounds for the …
Persistent link: https://www.econbiz.de/10005771162
In this paper we examine the impact of several local and global risk factors on the stock returns of S&P 500 industries' indices by applying a multifactor arbitrage pricing model. The local macroeconomic factors are industrial production, inflation, changes of expected inflation, term structure,...
Persistent link: https://www.econbiz.de/10008539440
This study examines the factors that explain the return generating process of stocks listed on the JSE. Monthly returns of stocks listed on the JSE from 1997-2007 are analysed using mostly multivariate factor analysis techniques. The paper further explores the sensitivities of the factors...
Persistent link: https://www.econbiz.de/10008467138
King and Korf [4] introduced a new framework for analyzing pricing theory for incomplete markets and contingent claims …
Persistent link: https://www.econbiz.de/10008473454
Persistent link: https://www.econbiz.de/10005028492