Zobrazeno 1 - 10
of 1 757
pro vyhledávání: '"Fabozzi, Frank J."'
Autor:
Lauria, Davide, Park, JiHo, Hu, Yuan, Lindquist, W. Brent, Rachev, Svetlozar T., Fabozzi, Frank J.
We address the problem of asset pricing in a market where there is no risky asset. Previous work developed a theoretical model for a shadow riskless rate (SRR) for such a market in terms of the drift component of the state-price deflator for that ass
Externí odkaz:
http://arxiv.org/abs/2411.07421
We introduce a new identification strategy for uncertainty shocks to explain macroeconomic volatility in financial markets. The Chicago Board Options Exchange Volatility Index (VIX) measures market expectations of future volatility, but traditional m
Externí odkaz:
http://arxiv.org/abs/2411.02804
We present a unified, market-complete model that integrates both the Bachelier and Black-Scholes-Merton frameworks for asset pricing. The model allows for the study, within a unified framework, of asset pricing in a natural world that experiences the
Externí odkaz:
http://arxiv.org/abs/2405.12479
This paper introduces the concept of a global financial market for environmental indices, addressing sustainability concerns and aiming to attract institutional investors. Risk mitigation measures are implemented to manage inherent risks associated w
Externí odkaz:
http://arxiv.org/abs/2308.15661
Motivated by the Corns-Satchell, continuous time, option pricing model, we develop a binary tree pricing model with underlying asset price dynamics following It\^o-Mckean skew Brownian motion. While the Corns-Satchell market model is incomplete, our
Externí odkaz:
http://arxiv.org/abs/2303.17014