Index-futures arbitragers only enter into the market if the deviation from the arbitrage relation is sufficiently large to compensate for transaction costs and associated interest rate and dividend risks. We estimate the band around the theoretical futures price within which arbitrage is not...

This paper studies empirical issues of one-factor yield curve models. We focus on the models by Ho

In this paper, we consider the problem of hedging a contingent claim on a stock under transaction-costs and stochastic volatility. Extensive research during the last two decades has clearly demonstrated that the volatility of most stocks is not constant over time. Writers of over-the-counter...