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Derivatives Valuation Based on Arbitrage : The Trade Is Crucial

Figlewski, Stephen - 2016

Derivatives valuation has strong theoretical support because models are derived from the principle that arbitrage … between the derivative and its underlying will eliminate riskless profits and drive the market price to the model value. "No-arbitrage …, not by theories. In this talk, I discuss how different the arbitrage trade is for different markets and different models …

Persistent link: https://www.econbiz.de/10012984824

Is the KOSPI 200 Options Market Efficient? A Nonparametric Tests of the Martingale Restriction

Han, Qian - 2012

A number of studies on the S&P 500 index options market claim that the no arbitrage assumption cannot be rejected for … not support the basic no-arbitrage assumption or the market efficiency in the KOSPI200 options market …

Persistent link: https://www.econbiz.de/10013108919

The impact of COVID-19 on tail risk : evidence from Nifty index options

Agarwalla, Sobhesh Kumar; Varma, Jayanth Rama; Virmani, … - In: Economics letters 204 (2021), pp. 1-4

Persistent link: https://www.econbiz.de/10012607446

Capturing the power options smile by an additive two-factor model for overlapping futures prices

Piccirilli, Marco; Schmeck, Maren Diane; Vargiolu, Tiziano - 2019

Lévy processes, that fulfills a no-overlapping-arbitrage (NOA) condition. We compute European option prices by Fourier … transform methods, introduce a specific calibration procedure that takes into account no-arbitrage constraints and fit the model …

Persistent link: https://www.econbiz.de/10012107920

Merger options and risk arbitrage

Van Tassel, Peter - 2016

important in merger arbitrage, where deal failure is a key risk. In this paper, I propose a dynamic asset pricing model that … addition, the model accurately predicts that merger arbitrage exhibits low volatility and a large Sharpe ratio when deals are …

Persistent link: https://www.econbiz.de/10011413251

Chapter 11 Intertemporal asset pricing theory

Duffie, Darrell - 2003

equivalent to the absence of arbitrage. State prices, which can be obtained from optimizing investors' marginal rates of …

Persistent link: https://www.econbiz.de/10014023860

On a new class of barrier options

Valle, Gerardo Hernández del - 2014

A barrier option is a financial derivative which includes an activation (or deactivation) clause within a standard vanilla option. For instance, a copper mining company could secure to sell in at least K dollars each ton of copper during the next year, by buying M European put options. However,...

Persistent link: https://www.econbiz.de/10010437145

The pricing of derivatives on assets with quadratic volatility

Zühlsdorff, Christian - 2002

The basic model of financial economics is the Samuelson model of geometric Brownian motion because of the celebrated Black-Scholes formula for pricing the call option. The asset's volatility is a linear function of the asset value and the model garantees positive asset prices. In this paper it...

Persistent link: https://www.econbiz.de/10011539634

On transaction-cost models in continuous-time markets

Poufinas, Thomas - In: International Journal of Financial Studies : open … 3 (2015) 2, pp. 102-135

Transaction-cost models in continuous-time markets are considered. Given that investors decide to buy or sell at certain time instants, we study the existence of trading strategies that reach a certain final wealth level in continuous-time markets, under the assumption that transaction costs,...

Persistent link: https://www.econbiz.de/10011308467

Discrete-time option pricing with stochastic liquidity

Leippold, Markus; Schärer, Steven - 2016

Classical option pricing theories are usually built on the law of one price, neglecting the impact of market liquidity that may contribute to significant bid-ask spreads. Within the framework of conic finance, we develop a stochastic liquidity model, extending the discrete-time constant...

Persistent link: https://www.econbiz.de/10011515968