Search Results - subject:"no-arbitrage bounds"

Non-uniqueness of best-of option prices under basket calibration

Ahnouch, Mohammed; Elaachak, Lotfi; Ghadi, Abderrahim - In: Risks : open access journal 13 (2025) 6, pp. 1-14

measures yielding different best-of option prices, with explicit no-arbitrage bounds [𝑎𝐾,𝑏𝐾] quantifying this uncertainty …

Persistent link: https://www.econbiz.de/10015436527

Trading strategies within the edges of no-arbitrage

Cartea, Álvaro; Jaimungal, Sebastian; Ricci, Jason - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-37

Persistent link: https://www.econbiz.de/10011889457

No-arbitrage bounds for financial scenarios

Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: European Journal of Operational Research 236 (2014) 2, pp. 657-663

We derive no-arbitrage bounds for expected excess returns to generate scenarios used in financial applications. The … be present, and a third, where arbitrage opportunities will always exist. No-arbitrage bounds are derived in closed form …

Persistent link: https://www.econbiz.de/10010871266

No-Arbitrage ROM simulation

Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: Journal of Economic Dynamics and Control 45 (2014) C, pp. 66-79

applications require simulated asset returns to be free of arbitrage opportunities. We analytically derive no-arbitrage bounds for …

Persistent link: https://www.econbiz.de/10011051879

No-arbitrage bounds for financial scenarios

Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: European journal of operational research : EJOR 236 (2014) 2, pp. 657-663

Persistent link: https://www.econbiz.de/10010366120

No-Arbitrage ROM simulation

Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: Journal of economic dynamics & control 45 (2014), pp. 66-79

Persistent link: https://www.econbiz.de/10010474462

No-Arbitrage Bounds on Contingent Claims Prices with Convex Constraints on the Dollar Investments of the Hedge Portfolio

Munk, Claus - EconWPA - 1997

With constrained portfolios, contingent claims do not generally have a unique price, for which there are no arbitrage opportunities. We generalize earlier results of El Karoui and Quenez (1995) and Cvitanic and Karatzas (1993) by showing that there is an interval of no-arbitrage prices, when...

Persistent link: https://www.econbiz.de/10005134774