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91
NoArbitrage Valuation of Contingent Claims in Discrete Time
, 2005
"... Following Harrison and Kreps (1979) and Harrison and Pliska (1981), the valuation of contingent claims in continuoustime and discretetime finite state space settings is generally based on the noarbitrage principle, and the use of an equivalent martingale measure. In contrast, for some of the most ..."
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Cited by 2 (0 self)
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Following Harrison and Kreps (1979) and Harrison and Pliska (1981), the valuation of contingent claims in continuoustime and discretetime finite state space settings is generally based on the noarbitrage principle, and the use of an equivalent martingale measure. In contrast, for some
Pricing, Noarbitrage Bounds and Robust Hedging of Installment Options
, 2001
"... An installment option is a European option in which the premium, instead of being paid upfront, is paid in a series of installments. If all installments are paid the holder receives the exercise value, but the holder has the right to terminate payments on any payment date, in which case the option ..."
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Cited by 23 (2 self)
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, Replicating Portfolios, Noarbitrage bounds. JEL classification: C 15, G 13 1 1 Introduction In a conventional option contract the buyer pays the premium up front and acquires the right, but not the obligation, to exercise the option at a fixed time T in the future (for Europeanstyle exercise) or at any
Household Borrowing High and Lending Low Under NoArbitrage
, 2007
"... Many households borrow on credit cards at high rates while holding lowyielding bank account balances. This borrowing high and lending low (BHLL) does not violate noarbitrage, or require psychological explanations, because credit cards and demand deposits are different assets. The latter are more l ..."
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Cited by 11 (3 self)
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Many households borrow on credit cards at high rates while holding lowyielding bank account balances. This borrowing high and lending low (BHLL) does not violate noarbitrage, or require psychological explanations, because credit cards and demand deposits are different assets. The latter are more
HARNACK INEQUALITY AND NOARBITRAGE BOUNDS FOR SELFFINANCING PORTFOLIOS
 BOL. SOC. ESP. MAT. APL. NO 49(2009), 15–27
, 2009
"... We give a direct proof of the Harnack inequality for a class of Kolmogorov operators associated with a linear SDE and we find the explicit expression of the optimal Harnack constant. We discuss some possible implication of the Harnack inequality in finance: specifically we infer noarbitrage bounds ..."
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Cited by 3 (1 self)
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We give a direct proof of the Harnack inequality for a class of Kolmogorov operators associated with a linear SDE and we find the explicit expression of the optimal Harnack constant. We discuss some possible implication of the Harnack inequality in finance: specifically we infer noarbitrage bounds
1 Household Borrowing High and Lending Low Under NoArbitrage
, 2006
"... U.S. households often borrow high on credit cards while lending low in bank accounts. This behavior does not violate noarbitrage, or require psychological explanations, because credit cards and demand deposits are different assets. The latter are significantly more liquid and hence have implicit va ..."
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U.S. households often borrow high on credit cards while lending low in bank accounts. This behavior does not violate noarbitrage, or require psychological explanations, because credit cards and demand deposits are different assets. The latter are significantly more liquid and hence have implicit
A Cross Section of Equity Returns: The NoArbitrage Test
"... We propose a new test based on the noarbitrage condition that compares crosssectional variation in equity returns to the crosssectional variation in their conditional covariance with the discount factors. Using the multivariate generalized heteroskedasticity in mean model (MGM) to estimate the 25 ..."
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We propose a new test based on the noarbitrage condition that compares crosssectional variation in equity returns to the crosssectional variation in their conditional covariance with the discount factors. Using the multivariate generalized heteroskedasticity in mean model (MGM) to estimate
One more noarbitrage parametric fit of the volatility smile
 North Am. J. Econ. Financ. 2014, in press. J. Risk Financial Manag. 2015
"... During last 15 years various parameterizations of the implied volatility (IV) surface were proposed in the literature to address few goals: a) given a set of market quotes for some options build a noarbitrage local volatility (Dupire’s) surface to further exploit it for calibration of a local stoch ..."
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Cited by 1 (0 self)
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During last 15 years various parameterizations of the implied volatility (IV) surface were proposed in the literature to address few goals: a) given a set of market quotes for some options build a noarbitrage local volatility (Dupire’s) surface to further exploit it for calibration of a local
Liquidity Risk in Credit Default Swap Markets*
"... We show that liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). Liquidity risk is defined as covariation between CDS returns and a liquidity factor that captures innovations to CDS market liquidity. Marketwide CDS illiquidity is measured by aggregating deviati ..."
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Cited by 3 (0 self)
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deviations of credit index levels from their noarbitrage values implied by the index constituents ’ CDS spreads, and the liquidity factor is the return on a diversified portfolio of index arbitrage strategies. Liquidity risk increases CDS spreads and the expected excess returns earned by sellers of credit
A Markov Model for the Term Structure of Credit Risk Spreads
 Review of Financial Studies
, 1997
"... This article provides a Markov model for the term structure of credit risk spreads. The model is based on Jarrow and Turnbull (1995), with the bankruptcy process following a discrete state space Markov chain in credit ratings. The parameters of this process are easily estimated using observable data ..."
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Cited by 377 (12 self)
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, and for risk management. This article presents a simple model for valuing risky debt that explicitly incorporates a firm's credit rating as an indicator of the likelihood of default. As such, this article presents an arbitragefree model for the term structure of credit risk spreads and their evolution
We are particularly grateful for the comments and suggestions of Alan Brace, Qiang
"... an anonymous referee, and the editor, René Stulz. All errors are our responsibility. Although traded as distinct products, caps and swaptions are linked by noarbitrage relations through the correlation structure of interest rates. Using a string market model framework, we solve for the correlation ..."
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inconsistently and that there were major distortions in the swaptions market during the hedgefund crisis of late 1998. We also find that cap prices periodically deviate significantly from the noarbitrage values implied by the swaptions market
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