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Capital structure arbitrage under a risk-neutral calibration
Zeitsch, Peter J. - In: Journal of risk and financial management : JRFM 10 (2017) 1, pp. 1-23
arbitrage opportunities is illustrated. The approach seeks to hedge the volatility risk, or vega, as opposed to the exposure … from the underlying equity itself, or delta. The results question the efficacy of the common arbitrage strategy of only …
Persistent link: https://www.econbiz.de/10011619118
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Learning from arbitrage
Boisdeffre, Lionel de - In: Economic theory bulletin 4 (2016) 1, pp. 111-119
Persistent link: https://www.econbiz.de/10011582552
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Do arbitrage-free prices come from utility maximization?
Siorpaes, Pietro - In: Mathematical finance : an international journal of … 26 (2016) 3, pp. 602-616
Persistent link: https://www.econbiz.de/10011583781
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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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Weak-form market efficiency of the Brazilian exchange rate : evidence from an artificial neural network model
Palma, Andreza Aparecida; Sartoris, Alexandre - In: Latin American business review : journal of the … 17 (2016) 2, pp. 163-176
Persistent link: https://www.econbiz.de/10011533040
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The dynamics of financially constrained arbitrage
Gromb, Denis; Vayanos, Dimitri - 2015
Persistent link: https://www.econbiz.de/10010495451
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The dynamics of financially constrained arbitrage
Gromb, Denis; Vayanos, Dimitri - 2015
Persistent link: https://www.econbiz.de/10010499506
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Asymptotic arbitrage with small transaction costs
Klein, Irene; Lépinette, Emmanuel; Perez-Ostafe, Lavinia - In: Finance and stochastics 18 (2014) 4, pp. 917-939
Persistent link: https://www.econbiz.de/10010416822
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Arbitrage bounds for prices of weighted variance swaps
Davis, Mark H. A.; Obłój, Jan; Raval, Vimal - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 821-854
Persistent link: https://www.econbiz.de/10011308161
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Non-parametric analysis of equity arbitrage
Vortelinos, Dimitrios I. - In: International review of economics & finance : IREF 33 (2014), pp. 199-216
Persistent link: https://www.econbiz.de/10010532732