Arbitrage-Based Pricing When Volatility is Stochastic.

This paper studies the implications of absence of arbitrage in economies where: (i) trade takes place in transaction time, (ii) there is a single state variable whose transaction-time price path is binomial, (iii) there are riskfree bonds with calendar-time maturities, and (iv) the relation between transaction time and calendar time is stochastic.

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Year of publication:	1996
Authors:	Bossaerts, P. ; Ghysels, E. ; Gourieroux, C.
Subject:	FINANCIAL MARKET \| RISK \| UNCERTAINTY \| PRICES

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Type of publication:	Book / Working Paper
Notes:	64 pages
Classification:	D50 - General Equilibrium and Disequilibrium. General ; D52 - Incomplete Markets ; G10 - General Financial Markets. General ; G11 - Portfolio Choice ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005641179