No-Arbitrage Valuation of Contingent Claims in Discrete Time

2005 ◽  
Author(s):  
Peter Christoffersen ◽  
Redouane Elkamhi ◽  
Kris Jacobs
Keyword(s):  
Discrete Time ◽  
Contingent Claims ◽  
No Arbitrage

scholarly journals An Interval of No-Arbitrage Prices in Financial Markets with Volatility Uncertainty

2017 ◽  
Vol 2017 ◽  
pp. 1-11
Author(s):  
Hanlei Hu ◽  
Zheng Yin ◽  
Weipeng Yuan
Keyword(s):  
Brownian Motion ◽  
Financial Markets ◽  
Stock Price ◽  
Contingent Claims ◽  
Price Dynamics ◽  
Complex Situation ◽  
No Arbitrage ◽  
Price Process ◽  
Arbitrage Opportunities

In financial markets with volatility uncertainty, we assume that their risks are caused by uncertain volatilities and their assets are effectively allocated in the risk-free asset and a risky stock, whose price process is supposed to follow a geometric G-Brownian motion rather than a classical Brownian motion. The concept of arbitrage is used to deal with this complex situation and we consider stock price dynamics with no-arbitrage opportunities. For general European contingent claims, we deduce the interval of no-arbitrage price and the clear results are derived in the Markovian case.

scholarly journals On the Rate of Convergence of Discrete-Time Contingent Claims

2000 ◽  
Vol 10 (1) ◽  
pp. 53-75 ◽  
Author(s):  
Steve Heston ◽  
Guofu Zhou
Keyword(s):  
Rate Of Convergence ◽  
Discrete Time ◽  
Contingent Claims

scholarly journals No-arbitrage with multiple-priors in discrete time

2020 ◽  
Vol 130 (11) ◽  
pp. 6657-6688 ◽  
Author(s):  
Romain Blanchard ◽  
Laurence Carassus
Keyword(s):  
Discrete Time ◽  
Multiple Priors ◽  
No Arbitrage

scholarly journals NO-ARBITRAGE PRICING FOR DIVIDEND-PAYING SECURITIES IN DISCRETE-TIME MARKETS WITH TRANSACTION COSTS

2013 ◽  
Vol 25 (4) ◽  
pp. 673-701 ◽  
Author(s):  
Tomasz R. Bielecki ◽  
Igor Cialenco ◽  
Rodrigo Rodriguez
Keyword(s):  
Transaction Costs ◽  
Discrete Time ◽  
Arbitrage Pricing ◽  
No Arbitrage

scholarly journals Maximum likelihood estimator of the volatility of forward rates driven by geometric spatial AR sheet

2004 ◽  
Vol 2004 (4) ◽  
pp. 293-309 ◽  
Author(s):  
József Gáll ◽  
Gyula Pap ◽  
Martien C. A. van Zuijlen
Keyword(s):  
Maximum Likelihood ◽  
Interest Rate ◽  
Maximum Likelihood Estimator ◽  
Discrete Time ◽  
Market Price ◽  
Likelihood Estimator ◽  
Market Price Of Risk ◽  
Forward Rates ◽  
No Arbitrage ◽  
Price Of Risk

Discrete-time forward interest rate curve models are studied, where the curves are driven by a random field. Under the assumption of no-arbitrage, the maximum likelihood estimator of the volatility parameter is given and its asymptotic behaviour is studied. First, the so-called martingale models are examined, but we will also deal with the general case, where we include the market price of risk in the discount factor.

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