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  • Search: subject:"Absence of arbitrage"
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Year of publication
Subject
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absence of arbitrage 10 Absence of arbitrage 7 Arbitrage 6 asynchronous trading 5 bid-ask bounce 5 bond returns 5 correlation 5 covariance 5 exchange rates 5 stock returns 5 volatility 5 Incomplete market 3 Martingal 3 Martingale 3 Option pricing theory 3 Optionspreistheorie 3 Overlapping sets of priors 3 Range-based estimation 3 Theorie 3 Theory 3 Unvollkommener Markt 3 collective absence of arbitrage 3 equilibria with short-selling 3 measures of risk 3 CAPM 2 Collective absence of arbitrage 2 Conditional full support 2 Derivat 2 Derivative 2 Efficient market hypothesis 2 Effizienzmarkthypothese 2 Equilibria with short-selling 2 Firm valuation 2 NFLVR 2 NUPBR 2 Non-semimartingale models 2 Option trading 2 Optionsgeschäft 2 Risk Measures 2 Simple trading strategies 2
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Online availability
All
Free 12 Undetermined 8
Type of publication
All
Book / Working Paper 14 Article 9
Type of publication (narrower categories)
All
Article in journal 4 Aufsatz in Zeitschrift 4 Working Paper 3 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2
Language
All
Undetermined 12 English 11
Author
All
Brandt, Michael W. 5 Dana, Rose-Anne 5 Diebold, Francis X. 5 Schweizer, Martin 3 Van, Cuong Le 3 Herdegen, Martin 2 Jouini, Elyès 2 Kallal, Hedi 2 Le Van, Cuong 2 Sayit, Hasanjan 2 April 1 BEKKER, PAUL A. 1 BOUWMAN, KEES E. 1 Bouchard, Bruno 1 Bálint, Dániel 1 Chateauneuf, Alain 1 Cornet, Bernard 1 Devolder, Pierre 1 Fontana, Claudio 1 HEANEY, JOHN 1 Hunt, Julien 1 POITRAS, GEOFFREY 1 Pelger, Markus 1 Platen, Eckhard 1
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Institution
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Center for Financial Studies 2 HAL 2 Université Paris-Dauphine 2 Université Paris-Dauphine (Paris IX) 2 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 1 Department of Economics, University of Pennsylvania 1 Financial Institutions Center, Wharton School of Business 1
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Published in...
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CFS Working Paper Series 2 Economics Papers from University Paris Dauphine 2 Open Access publications from Université Paris-Dauphine 2 Post-Print / HAL 2 Annals of Finance 1 Annals of Financial Economics (AFE) 1 Annals of finance 1 CFS Working Paper 1 Center for Financial Institutions Working Papers 1 Documents de travail du Centre d'Economie de la Sorbonne 1 Economic theory bulletin 1 Finance and Stochastics 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 Mathematical finance : an international journal of mathematics, statistics and financial economics 1 Mathematics and financial economics 1 PIER Working Paper Archive 1 Physica A: Statistical Mechanics and its Applications 1 Research paper / Quantitative Finance Research Centre, University of Technology Sydney 1 Research paper series / Swiss Finance Institute 1 Swiss Finance Institute Research Paper 1
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Source
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RePEc 16 ECONIS (ZBW) 6 EconStor 1
Showing 1 - 10 of 23
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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
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Sure profits via flash strategies and the impossibility of predictable jumps
Fontana, Claudio; Pelger, Markus; Platen, Eckhard - 2017
Persistent link: https://www.econbiz.de/10011778192
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Properly discounted asset prices are semimartingales
Bálint, Dániel; Schweizer, Martin - In: Mathematics and financial economics 14 (2020) 4, pp. 661-674
Persistent link: https://www.econbiz.de/10012321854
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Semi-efficient valuations and put-call parity
Herdegen, Martin; Schweizer, Martin - In: Mathematical finance : an international journal of … 28 (2018) 4, pp. 1061-1106
Persistent link: https://www.econbiz.de/10011969072
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Economically consistent valuations and put-call parity
Herdegen, Martin; Schweizer, Martin - 2016 - This version: January 12, 2016
start from two simple, economically motivated axioms, namely absence of arbitrage (in the sense of NUPBR) and absence of … valuing by absence of arbitrage alone. We show that this always yields put-call parity, although put and call values …
Persistent link: https://www.econbiz.de/10011514353
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Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures
Dana, Rose-Anne; Van, Cuong Le - HAL - 2010
The overlapping expectations and the collective absence of arbitrage conditions introduced in the economic literature … absence of arbitrage conditions and shown to imply existence of Pareto optima and Arrow-Debreu equilibria. …
Persistent link: https://www.econbiz.de/10010738638
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Overlapping Sets of Priors and the Existence of Efficient Allocations and Equilibria for Risk Measures.
Dana, Rose-Anne; Le Van, Cuong - Université Paris-Dauphine - 2010
The overlapping expectations and the collective absence of arbitrage conditions introduced in the economic literature … absence of arbitrage conditions and shown to imply existence of Pareto optima and Arrow Debreu equilibria. …
Persistent link: https://www.econbiz.de/10008520042
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Cover Image
Overlapping Sets of Priors and the Existence of Efficient Allocations and Equilibria for Risk Measures
Dana, Rose-Anne; Le Van, Cuong - Université Paris-Dauphine (Paris IX) - 2010
The overlapping expectations and the collective absence of arbitrage conditions introduced in the economic literature … absence of arbitrage conditions and shown to imply existence of Pareto optima and Arrow Debreu equilibria. …
Persistent link: https://www.econbiz.de/10010707106
Saved in:
Cover Image
Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures.
Dana, Rose-Anne; Van, Cuong Le - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2007
The overlapping expectations and the collective absence of arbitrage conditions introduced in the economic literature … collective absence of arbitrage conditions and shown to imply existence of Pareto optima and Arrow Debreu equilibria. …
Persistent link: https://www.econbiz.de/10005510595
Saved in:
Cover Image
Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures
Dana, Rose-Anne; Van, Cuong Le - HAL - 2007
The overlapping expectations and the collective absence of arbitrage conditions introduced in the economic literature … collective absence of arbitrage conditions and shown to imply existence of Pareto optima and Arrow Debreu equilibria. …
Persistent link: https://www.econbiz.de/10010750717
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