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Arbitrage and investment opportunities
Jouini, Elyès - In: Finance and Stochastics 5 (2001) 3, pp. 305-325
quite general framework, we show that the assumption of no-arbitrage is essentially equivalent to the existence of a … the no-arbitrage condition in these imperfect models, from which it is easy to derive pricing formulae for contingent …
Persistent link: https://www.econbiz.de/10005759639
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Arbitrage and investment opportunities
Jouini, Elyès; Napp, Clotilde - Université Paris-Dauphine (Paris IX) - 2001
quite general framework, we show that the assumption of no-arbitrage is essentially equivalent to the existence of a … the no-arbitrage condition in these imperfect models, from which it is easy to derive pricing formulae for contingent …
Persistent link: https://www.econbiz.de/10010706949
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Arbitrage and investment opportunities.
Jouini, Elyès; Napp, Clotilde - Université Paris-Dauphine - 2001
quite general framework, we show that the assumption of no-arbitrage is essentially equivalent to the existence of a … the no-arbitrage condition in these imperfect models, from which it is easy to derive pricing formulae for contingent …
Persistent link: https://www.econbiz.de/10008800249
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Applications of change of numéraire for option pricing
Le Roux, Gawie - 2007
andSchachermayer’s Mathematics of Arbitrage. The technique is then applied to financial pricingproblems. The right choice of numéraire …
Persistent link: https://www.econbiz.de/10009442166
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No arbitrage of the first kind and local martingale numéraires
Kabanov, Jurij M.; Kardaras, Constantinos; Song, Shiqi - In: Finance and stochastics 20 (2016) 4, pp. 1097-1108
Persistent link: https://www.econbiz.de/10011570475
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Building trust takes time : limits to arbitrage for blockchain-based assets
Hautsch, Nikolaus; Scheuch, Christoph; Voigt, Stefan - In: Review of finance : journal of the European Finance … 28 (2024) 4, pp. 1345-1381
Persistent link: https://www.econbiz.de/10015046188
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Arbitrage and state price deflators in a general intertemporal framework
Napp, Clotilde; Jouini, Elyès - HAL - 2005
In securities markets, the characterization of the absence of arbitrage by the existence of state price deflators is ….M., 1981. Arbitrage and equilibrium in economies with infinitely many commodities. Journal of Mathematical Economics 8, 15 …-like condition”.We apply this result to the characterization of the no-arbitrage assumption in a general intertemporal framework. …
Persistent link: https://www.econbiz.de/10008791170
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Arbitrage and state price deflators in a general intertemporal framework
Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2005
In securities markets, the characterization of the absence of arbitrage by the existence of state price deflators is ….M., 1981. Arbitrage and equilibrium in economies with infinitely many commodities. Journal of Mathematical Economics 8, 15 …-like condition”.We apply this result to the characterization of the no-arbitrage assumption in a general intertemporal framework. …
Persistent link: https://www.econbiz.de/10011073862
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Put-Call Parity and market frictions
Cerreia-Vioglio, S.; Maccheroni, Fabio; Marinacci, Massimo - In: Journal of economic theory 157 (2015), pp. 730-762
Persistent link: https://www.econbiz.de/10011525337
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The risk-neutral non-additive probability with market frictions
Chateauneuf, Alain; Cornet, Bernard - In: Economic theory bulletin 10 (2022) 1, pp. 13-25
Persistent link: https://www.econbiz.de/10013262870