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Local risk-minimization under transaction costs
Lamberton, Damien; Pham, Huyên; Schweizer, Martin - Sonderforschungsbereich 373, Quantifikation und … - 1998
We propose a new approach to the pricing and hedging of contingent claims under transaction costs in a general incomplete market in discrete time. Under the assumptions of a bounded mean-variance tradeoff, substantial risk and a nondegeneracy condition on the conditional variances of asset...
Persistent link: https://www.econbiz.de/10010983431
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Local risk-minimization under transaction costs
Lamberton, Damien; Pham, Huyên; Schweizer, Martin - 1998
We propose a new approach to the pricing and hedging of contingent claims under transaction costs in a general incomplete market in discrete time. Under the assumptions of a bounded mean-variance tradeoff, substantial risk and a nondegeneracy condition on the conditional variances of asset...
Persistent link: https://www.econbiz.de/10010309913
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SETS, arbitrage activity, and stock price dynamics
Taylor, Nicholas; Dijk, Dick van; Franses, Philip Hans; … - 1999
This paper provides an empirical description of the relationshipbetween the trading system operated by a stockexchange and the transaction costs faced by heterogeneous investors who use the exchange. Therecent introduction ofSETS in the London Stock Exchange provides an excellent opportunity...
Persistent link: https://www.econbiz.de/10011300557
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Implicit transaction costs and the fundamental theorems of asset pricing
Allaj, Erindi - In: International journal of theoretical and applied finance 20 (2017) 4, pp. 1-39
Persistent link: https://www.econbiz.de/10011686967
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Sticky continuous processes have consistent price systems
Bender, Christian; Pakkanen, Mikko S.; Sayit, Hasanjan - School of Economics and Management, University of Aarhus - 2013
Under proportional transaction costs, a price process is said to have a consistent price system, if there is a semimartingale with an equivalent martingale measure that evolves within the bid-ask spread. We show that a continuous, multi-asset price process has a consistent price system, under...
Persistent link: https://www.econbiz.de/10010851256
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On the extent of arbitrage constraints within transaction algebras
Apreda, Rodolfo - 2003
Although the standard trading arbitrage model provides with simple settings and adjustment mechanisms so as to take … profit whenever an arbitrage opportunity comes up, empirical evidence has been piling up showing that this point of view … standard financial arbitrage model from being functional to real markets environments. To overcome such drawbacks, this paper …
Persistent link: https://www.econbiz.de/10010323192
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On the Extent of Arbitrage Constraints within Transaction Algebras (A non-standard approach).
Apreda, Rodolfo - Universidad del CEMA - 2003
Although the standard trading arbitrage model provides with simple settings and adjustment mechanisms so as to take … profit whenever an arbitrage opportunity comes up, empirical evidence has been piling up showing that this point of view … standard financial arbitrage model from being functional to real markets environments. To overcome such drawbacks, this paper …
Persistent link: https://www.econbiz.de/10005668785
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ETF Arbitrage, Non-Fundamental Demand, and Return Predictability
Brown, David C. - 2020
Non-fundamental demand shocks have significant effects on asset prices, but observing these shocks is challenging. We use the exchange traded fund (ETF) primary market to study non-fundamental demand. Unique to the ETF market, specialized arbitrageurs called authorized participants correct...
Persistent link: https://www.econbiz.de/10012854947
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Level-Slope-Curvature - Fact or Artefact?
Lord, Roger; Pelsser, Antoon - 2005
The first three factors resulting from a principal components analysis of term structure data are in the literature typically interpreted as driving the level, slope and curvature of the term structure. Using slight generalisations of theorems from total positivity, we present sufficient...
Persistent link: https://www.econbiz.de/10010325482
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Level-slope-curvature : fact or artefact?
Lord, Roger; Pelsser, Antoon André Jean - 2005
The first three factors resulting from a principal components analysis of term structure data are in the literature typically interpreted as driving the level, slope and curvature of the term structure. Using slight generalisations of theorems from total positivity, we present sufficient...
Persistent link: https://www.econbiz.de/10011346478