Search Results - subject:"static arbitrage"

Fixed-income pricing and the replication of liabilities

Filipović, Damir - 2025

Persistent link: https://www.econbiz.de/10015609709

Cross-currency credit spreads : harvesting the idiosyncratic basis as a source of ARP

Henide, Karim - In: Journal of derivatives and quantitative studies : … 30 (2022) 2, pp. 74-88

indicative market-neutral credit strategy that is designed to harvest the apparent static arbitrage opportunities. The success of …

Persistent link: https://www.econbiz.de/10013202388

A two-step framework for arbitrage-free prediction of the implied volatility surface

Zhang, Wenyong; Li, Lingfei; Zhang, Gongqiu - In: Quantitative finance 23 (2023) 1, pp. 21-34

Persistent link: https://www.econbiz.de/10013490950

Cross-currency credit spreads: Harvesting the idiosyncratic basis as a source of ARP

Henide, Karim - In: Journal of Derivatives and Quantitative Studies: … 30 (2022) 2, pp. 74-88

indicative market-neutral credit strategy that is designed to harvest the apparent static arbitrage opportunities. The success of …

Persistent link: https://www.econbiz.de/10015607456

Sound deposit insurance pricing using a machine learning approach

Assa, Hirbod; Pouralizadeh, Mostafa; Badamchizadeh, … - In: Risks : open access journal 7 (2019) 2/45, pp. 1-18

arbitrage. Then, we propose a simple quadratic model to parameterize implied volatility and remove the static arbitrage. The … effects of both butterfly and calendar spread arbitrage make the implied volatility surface free of static arbitrage. …, we discuss that by imposing the no-moral-hazard risk, the removal of arbitrage is equivalent to removing the static …

Persistent link: https://www.econbiz.de/10012019237

Sound deposit insurance pricing using a machine learning approach

Assa, Hirbod; Pouralizadeh, Mostafa; Badamchizadeh, … - In: Risks 7 (2019) 2, pp. 1-18

Persistent link: https://www.econbiz.de/10013200463

Detecting and repairing arbitrage in traded option prices

Cohen, Samuel N.; Reisinger, Christoph; Wang, Sheng - In: Applied mathematical finance 27 (2020) 5, pp. 345-373

Persistent link: https://www.econbiz.de/10012501620

Recovering statistical theory in the context of model calibrations

Madan, Dilip B. - In: Journal of financial econometrics : official journal of … 13 (2015) 2, pp. 260-292

Persistent link: https://www.econbiz.de/10011339334

Arbitrage-free interpolation of call option prices

Bender, Christian; Thiel, Matthias - In: Statistics & Risk Modeling 37 (2020) 1-2, pp. 55-78

static arbitrage. Our interpolation method is based on a distortion of the call price function of an arbitrage-free financial …

Persistent link: https://www.econbiz.de/10014621270

OPTION PRICING WITH VG–LIKE MODELS

FINLAY, RICHARD; SENETA, EUGENE - In: International Journal of Theoretical and Applied … 11 (2008) 08, pp. 943-955

We relax separately two assumptions regarding the Variance Gamma (VG) process and price options accordingly. In the case of the Difference of Gammas model we achieve a better fit to market data than achieved by other comparable models. In the case of the long range dependent VG model, we find...

Persistent link: https://www.econbiz.de/10004971741