Showing 1 - 10 of 56
Persistent link: https://www.econbiz.de/10001485217
Persistent link: https://www.econbiz.de/10001485802
Bernardo and Ledoit (2000) develop a very appealing framework to compute pricing bounds based on the so-called gain-loss ratio. Their method has many advantages and very interesting properties and so far one important drawback: the complexity of the numerical computation of the pricing bounds....
Persistent link: https://www.econbiz.de/10001600011
In a two-period setup we develop a generalization of good-deal bounds that allows to include in the problem the implications of asset pricing models. Our basis is the distance behind Hansen and Jagannathan's measure of model misspecification since a volatility constraint on the stochastic...
Persistent link: https://www.econbiz.de/10001600073
Persistent link: https://www.econbiz.de/10010359642
Persistent link: https://www.econbiz.de/10011740835
Persistent link: https://www.econbiz.de/10011626383
Persistent link: https://www.econbiz.de/10011378081
We present a generalization of Cochrane and Saá-Requejo's good-deal bounds which allows to include in a flexible way the implications of a given stochastic discount factor model. Furthermore, a useful application to stochastic volatility models of option pricing is provided where closed-form...
Persistent link: https://www.econbiz.de/10013037581
To analyze the economic significance of pricing errors of stock index options, a system of linear inequalities is developed which completely characterizes all risk arbitrage opportunities which arise if a well-behaved pricing kernel does not exist. The Stochastic Arbitrage system can account for...
Persistent link: https://www.econbiz.de/10012899380