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Doukas, John A.; Kim, Chansog; Pantzalis, Christos - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 4, pp. 907-934

Persistent link: https://www.econbiz.de/10008758081

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

Bubbles and crashes revisited

Johnson, Dean; Joyce, Patrick - In: Review of economics & finance (2012) 3, pp. 29-42

Persistent link: https://www.econbiz.de/10009680536

Bubbles and crashes in a black-scholes model with delay

Appleby, John A. D.; Riedle, Markus; Swords, Catherine - In: Finance and stochastics 17 (2013) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10009682292

A dynamic equilibrium model of ETFs

Malamud, Semyon - 2015

I develop a dynamic general equilibrium model of exchange traded funds (ETFs) that accounts for the two-tier ETF market structure with both a centralized exchange (secondary market) and a creation/redemption mechanism (primary market) operating through market-making firms known as Authorized...

Persistent link: https://www.econbiz.de/10011412317