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~institution:"HAL"
~institution:"School of Economics and Management, University of Aarhus"
~subject:"arbitrage"
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arbitrage
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School of Economics and Management, University of Aarhus
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
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Tilburg University, Center for Economic Research
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1
Preliminary remarks on option pricing and dynamic hedging
Fliess, Michel
;
Join, Cédric
-
HAL
-
2012
An elementary arbitrage principle and the existence of trends in financial
time
series, which is based on a theorem …
Persistent link: https://www.econbiz.de/10010551681
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2
Transaction Costs in Financial Models
Bouchard, Bruno
;
Jouini, Elyès
-
HAL
-
2010
executed in continuous
time
with no friction. This assumption is clearly a strong idealization of the reality. In particular …
Persistent link: https://www.econbiz.de/10010550928
Saved in:
3
An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses
Christensen, Bent Jesper
;
Wel, Michel van der
-
School of Economics and Management, University of Aarhus
We develop a new empirical approach to term structure analysis that allows testing for
time
-varying risk premia and for … favors
time
-varying market prices of risk. Most of the risk premium is associated with the slope factor, and individual risk …
Persistent link: https://www.econbiz.de/10008836605
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