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Non-parametric Tests for the Martingale Restriction: A New Approach

Guo, Biao; Han, Qian; Ryu, Doojin - 2013

differences between the option-implied and market observed prices. Our results strongly suggest that there exist arbitrage …

Persistent link: https://www.econbiz.de/10010892140

Arbitrage and Optimal Portfolio Choice with Financial Constraints

Elsinger, Helmut; Summer, Martin - 2001

, portfolio constraints can lead to situations where not all arbitrage opportunities are necessarily eliminated in equilibrium …. For a world with portfolio constraints the concept of no arbitrage has to be replaced by a weaker concept which we call no … unlimited arbitrage. Second, though we can characterize prices which allow no unlimited arbitrage by the existence of certain …

Persistent link: https://www.econbiz.de/10013369966

The cross section of positively weighted portfolios

Niedermayer, Daniel; Zimmermann, Heinz - Wirtschaftswissenschaftliches Zentrum <Basel> - 2007

This paper examines properties of mean-variance inefficient proxies with respect to producing a linear relation between expected returns and betas. The numerical results of a Monte Carlo simulation show that in the CAPM slightly inefficient, positively weighted proxies cause an almost perfect...

Persistent link: https://www.econbiz.de/10005862639

Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 option market

Kapetanios, George; Neumann, Michael; Skiadopoulos, George - 2014

We study the real-time characteristics and drivers of jumps in option prices. To this end, we employ high frequency data from the 24-hour E-mini S&P 500 options market. We find that option prices do not jump simultaneously across strikes and maturities and are uncorrelated with jumps in the...

Persistent link: https://www.econbiz.de/10011381002

The contribution of transaction costs to expected stock returns: A novel measure

Hiraki, Kazuhiro; Skiadopoulos, George - 2023

We document that a theoretically founded, real-time, and easy-to-implement option-based measure, termed synthetic-stock difference (SSD), accurately estimates the part of stock's expected return arising from stock's transaction costs. We calculate SSD for U.S. optionable stocks. SSD can be more...

Persistent link: https://www.econbiz.de/10014480627

The microstructure of covered interest arbitrage in a market with a dominant market maker

Liu, Hao-chen; Witte, Mark David - In: Journal of international financial markets, … 24 (2013), pp. 25-41

Persistent link: https://www.econbiz.de/10009726481

Arbitrage-free market models for option prices : The multi-strike case

Schweizer, Martin; Wissel, Johannes - Institut für Schweizerisches Bankwesen <Zürich> - 2008

models satisfying the natural static arbitrage bounds across strikes. We next characterize absence of dynamic arbitrage for …, and hence of arbitrage-free multi-strike market models of option prices. …

Persistent link: https://www.econbiz.de/10005858204

Arbitrage opportunities in diverse markets via a non-equivalent measure change

Osterrieder, Jörg; Rheinländer, Thorsten - Institut für Schweizerisches Bankwesen <Zürich> - 2004

We study arbitrage opportunities in diverse markets as introduced by R. Fernholz in [2]. By a change of measure …-equivalent measure change which implies the existence of instantaneous arbitrage opportunities in diverse markets. For this technique to …

Persistent link: https://www.econbiz.de/10005858729

International arbitrage pricing theory with market imperfections : a note

Fang, Hsing - In: Journal of international financial markets, … 2 (1992) 1, pp. 47-56

Persistent link: https://www.econbiz.de/10001127309

Foreign exchange market inefficiency and exchange rate anomalies

Li, Jing; Miller, Norman C. - In: Journal of international financial markets, … 34 (2015), pp. 311-320

Persistent link: https://www.econbiz.de/10011474591

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