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No-Arbitrage Pricing for Dividend-Paying Securities in Discrete-Time Markets with Transaction Costs
arbitrage fundamental theorem of asset pricing transaction costs consistent pricing system liquidity dividends credit default swaps
2012/6/5
We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discrete-time markets with dividend-paying securities. Specifically, we show that the no-arbitrage conditio...
Comparing the reliability of a discrete-time and a continuous-time Markov chain model in
discrete-time transition matrix the default probability the empirical results
2011/8/30
This article compares the reliability of a discrete-time and a continuous-time Markov chain model for estimating credit risk and for investigating loans of Chiao Tung Bank in Taiwan. The continuous-ti...
Power Utility Maximization in Discrete-Time and Continuous-Time Exponential Levy Models
utility maximization power utility exponential L´ evy process discretization
2011/3/31
Consider power utility maximization of terminal wealth in a 1-dimensional continuous-time exponential Levy model with finite time horizon.
Discrete-Time Interest Rate Modelling
Interest rates models pricing kernels financial time series Flesaker-Hughston models transversality condition
2010/11/2
This paper presents an axiomatic scheme for interest rate models in discrete time.
We take a pricing kernel approach, which builds in the arbitrage-free property and pro-
vides a link to equilibrium...
Perfect and partial hedging for swing game options in discrete time
game options discrete time
2010/11/1
The paper introduces and studies hedging for game (Israeli) style extension of swing options considered as multiple exercise derivatives. Assuming that the underlying security can be traded without re...
Nonparametric Specifiation Tests of Discrete Time Spot Interest Rate Models in China
Spot RateModels Nonparametric Speci… cation Tests Generalized residuals Probability Integral Transform Q-Stats
2011/4/6
Understanding the dynamics of spot rates is very important for asset pricing, risk
management and interest rate liberalization. We examine a wide variety of popular
spot rate models in China, includ...