کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5088719 | 1478322 | 2015 | 21 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Detection of arbitrage in a market with multi-asset derivatives and known risk-neutral marginals
ترجمه فارسی عنوان
تشخیص آربیتراژ در بازار با مشتقات چند دارایی و مارینال های شناخته نشده ریسک
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
In this paper we study the existence of arbitrage opportunities in a multi-asset market when risk-neutral marginal distributions of asset prices are known. We first propose an intuitive characterization of the absence of arbitrage opportunities in terms of copula functions. We then address the problem of detecting the presence of arbitrage by formalizing its resolution in two distinct ways that are both suitable for the use of optimization algorithms. The first method is valid in the general multivariate case and is based on Bernstein copulas that are dense in the set of all copula functions. The second one is easier to work with but is only valid in the bivariate case. It relies on results about improved Fréchet-Hoeffding bounds in presence of additional information. For both methods, details of implementation steps and empirical applications are provided.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 53, April 2015, Pages 158-178
Journal: Journal of Banking & Finance - Volume 53, April 2015, Pages 158-178
نویسندگان
Bertrand Tavin,