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The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete … financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator …
The use of equilibrium models in economics springs from the desire for parsimonious models of economic phenomena that take human reasoning into account. This approach has been the cornerstone of modern economic theory. We explain why this is so, extolling the virtues of equilibrium theory; then...
fulfils a minimal no-arbitrage condition for an economically viable financial market. Furthermore, we demonstrate that … illustrating and clarifying several points on asset price bubbles and the economics of arbitrage. …
resultat d'absence d'arbitrage. Puis, nous l'appliquons afin de retrouver les resultats deja connus sur les couts de …
The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete … financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator …
A small but ambitious literature uses affine arbitrage-free models to estimate jointly U.S. Treasury term premiums and …
to be locally arbitrage free, however, it still permits some form of arbitrage. Finally, a subclass of arbitrage free … portfolio ; arbitrage amount …
paper explains that pricing by classical no-arbitrage arguments is, in general, not unique and may lead to overpricing. In …
The paper proposes a financial market model that generates stochastic volatility and stochastic interest rate using a minimal number of factors that characterise the dynamics of the different denominations of the deflator. It models asset prices essentially as functionals of square root and...
. A strategy H is called extreme if it represents a maximal arbitrage opportunity. By this we mean that H generates at …. We characterize those subsets of Fe, on which no arbitrage opportunities exist. …