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For longer horizons, assuming no dividend distributions, equilibrium models for discounted stock prices are formulated as conditional expectations of nontrivial terminal random variables defined at infinity. Observing that extant models fail to have this property, new models are proposed. The...
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The logarithm of SPX is modeled as a Sato process running at a speed proportional to the current level of the VIX. When the logarithm of the VIX is an exponential compound Poisson process with drift one may obtain exact expressions for the prices of equity options taken at an independent...
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We investigate whether a simple long-short weekly trading strategy based on mispricing among ETNs generates profits in excess of the S&P 500 over the sample period of June 6, 2006 to January 30, 2012. Ignoring transaction costs, liquidity, and short selling constraints we find the following. (1)...
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