Dissecting Arbitrage Costs
نویسندگان
چکیده
منابع مشابه
& ^ewey Working Paper Alfred P. Sloan School of Management Holding Costs and Equilrerium Arbitrage Holding Costs and Equilrerium Arbitrage Holding Costs and Equilibrium Arbitrage
This paper constructs a dynamic model of the equilibrium determination of relative prices when risk averse arbitragers face holding costs. The major fmdings are as follows: 1) Arbitragers reduce but do not eliminate mispricings. 2) Because arbitragers optimally take positions when mispricings are within the riskless arbitrage bounds, models based on riskless arbitrage arguments alone may not pr...
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In the paper [7], Guasoni studies financial markets which are subject to proportional transaction costs. The standard martingale framework of stochastic finance is not applicable in these markets, since the transaction costs force trading strategies to have bounded variation, while continuoustime martingale strategies have infinite transaction cost. The main question that arises out of [7] is w...
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The aim of this note is to establish criterion of absence of arbitrage opportunities under small transaction costs for a family of multi-asset models of financial market.
متن کامل.^''^^'^x Ocvt^ Hd28 .m414 Working Paper Alfred P. Sloan School of Management Holding Costs and Equilibrium Arbitrage Holding Costs and Equilibrium Arbitrage Aug 2 7 \ Holding Costs and Equilibrium Arbitrage
In a world were trading is costless, assets with identical cash flows must have identical prices. If arbitrageurs face unit time costs, or holding costs, the prices of these assets need not be equal, i.e the assets can be relatively mispriced. This paper constructs a dynamic model of the equilibrium determination of prices under costly arbitrage. Our analysis reveals that: (i) Mispricing and ar...
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We propose a method for determining an arbitrage-free density implied by the Hagan formula. (We use the wording “Hagan formula” as an abbreviation of the Hagan– Kumar–Leśniewski–Woodward model.) Our method is based on the stochastic collocation method. The principle is to determine a few collocation points on the implied survival distribution function and project them onto the polynomial of an ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2016
ISSN: 1556-5068
DOI: 10.2139/ssrn.2842514