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Option Pricing by Mathematical Programming
Flåm, Sjur - Nationalekonomiska Institutionen, Ekonomihögskolan - 2007
Financial options typically incorporate times of exercise. Alternatively, they embody set-up costs or indivisibilities … here that integrality constraints can often be relaxed. In fact, simple mathematical programming, aimed at arbitrage or …
Persistent link: https://www.econbiz.de/10005419347
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Option Pricing by Mathematical Programming
Flåm, Sjur - 2007
Financial options typically incorporate times of exercise. Alternatively, they embody set-up costs or indivisibilities … here that integrality constraints can often be relaxed. In fact, simple mathematical programming, aimed at arbitrage or …
Persistent link: https://www.econbiz.de/10013208513
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Existence and uniqueness of equilibrium in Lucas' asset pricing model when utility is unbounded
Brogueira, Joao; Schuetze, Fabian - Department of Economics, European University Institute - 2015
This note proves existence of a unique equilibrium in a Lucas (1978) economy when the utility function displays constant relative risk aversion and log dividends follow a normally distributed AR(1) process with positive auto-correlation. In particular, the note provides restrictions on the...
Persistent link: https://www.econbiz.de/10011252964
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Memory and Asset Pricing Models with Heterogeneous Beliefs
Verbic, Miroslav - Volkswirtschaftliche Fakultät, … - 2006
The paper discusses the role of memory in asset pricing models with heterogeneous beliefs. In particular, we were interested in how memory in the fitness measure affects stability of evolutionary adaptive systems and survival of technical trading. In order to obtain an insight into this matter...
Persistent link: https://www.econbiz.de/10005789598
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Computing Equilibria in Finance Economies
Herings, P.J.J.; Kubler, F. - EconWPA - 2001
Persistent link: https://www.econbiz.de/10005125623
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Adaptive Learning in Stochastic Nonlinear Models When Shocks Follow a Markov Chain.
Honkapohja, Seppo; Mitra, Kaushik - Økonomisk Institut, Københavns Universitet
Local convergence results for adaptive learning of stochastic steady states in nonlinear models are extended to the case where the exogenous observable variables follow a ?nite Markov chain. The stability conditions for the corresponding nonstochastic model and its steady states yield...
Persistent link: https://www.econbiz.de/10005749574
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Existence of solutions and asset pricing bubbles in general equilibrium models.
Mattalia, Claudio - International Centre for Economic Research (ICER) - 2003
This paper analyses the problem represented by the presence of speculative bubbles on asset prices in general equilibrium models. The main results concerning the existence of solutions in intertemporal general equilibrium models are summarized, then the specific problem of asset pricing is...
Persistent link: https://www.econbiz.de/10005577355
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Complex Stock Price Dynamics and Recurrent Bubbles under the Spirit of Capitalism
Airaudo, Marco - Institut for Miljø og Erhvervsøkonomi, Syddansk … - 2012
We embed Max Weber (1958)'s spirit of capitalism (SOC) into an otherwise standard Lucas' tree asset pricing model, by assuming that economic agents care about their social status and that the latter is related to financial wealth. We show that, absent uncertainty, for a wide range of values for...
Persistent link: https://www.econbiz.de/10011124047
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The Robustness of the CAPM - A Computational Approach
Herings, P.J.J.; Kubler, F. - Tilburg University, Center for Economic Research - 1999
In this paper we argue that in realistically calibrated two period general equilibrium models with incomplete markets CAPM-pricing provides a good benchmark for equilibrium prices even when agents are not mean-variance optimizers and returns are not normally distributed. We numerically...
Persistent link: https://www.econbiz.de/10011092773
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Risk Arbitrage Opportunities for Stock Index Options
Post, Thierry - 2019
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 market imperfections in the form of transactions costs and general …
Persistent link: https://www.econbiz.de/10012899380