arbitrage

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Words related to arbitrage

a kind of hedged investment meant to capture slight differences in price

practice arbitrage, as in the stock market

References in periodicals archive ?
We refer to Harrison and Kreps (1979) or more recently to Bjork (2004) for an extensive theory on arbitrage-free pricing.
The affine arbitrage-free class of Nelson-Siegel term structure models, NBER Working Paper 13611
There are two separate theorems which tie the idea of an arbitrage-free market to the situation where taxes are imposed on the payoffs.
It is this |Mathematical Expression Omitted^ return series that provides a proxy for a target's arbitrage-free systematic return series and permits the estimation of equity capital cost for a non-publicly traded division.
In recent years, this arbitrage-free analysis has been extended to include more general Levy processes as the basic building block.
Indeed, arbitrage-free NS models will parsimoniously and reliably represent the data generated by any Gaussian affine term structure model regardless of its true number of underlying factors and specification, and even non-arbitrage-free NS models will adequately capture the dynamics of the state variables.
Pan, 1995, "An Arbitrage-Free Estimate of Prepayment Option Prices in Fixed-Rate GNMA Mortgage-Backed Securities", Real Estate Economics, 23:1-20
Also included is a step-by-step discussion on the use of Fourier methods to solve for arbitrage-free prices when underlying price dynamics are modeled in realistic, but complex ways.
We first obtain the fair premium based on a fair value of the equity-linked contract using arbitrage-free theory.
Bailey, Li, and Zhang [17] analyze hedge fund performance using the stochastic discount factor (SDF) approach and imposing the arbitrage-free requirement to correctly value the derivatives and dynamic trading strategies used by hedge funds.