Essays about: "arbitrage argument"

Found 3 essays containing the words arbitrage argument.

1. 1. The Relation Between the Credit Default Swap and Corporate Bond Market

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Sofia Nilsson; Isabelle Sandahl; [2018]
   Keywords : Credit Default Swap; Corporate Bond Market; Credit Risk; Arbitrage Argument; Credit Ratings; Business and Economics;

   Abstract : The European credit default swap (CDS) market has experienced noticeable changes and remarkably developed over the last decades. Today, the relation between the CDS and corporate bond market is a prominent topic in the financial literature. READ MORE

3. 2. Gap Premium Pricing in Leveraged Exchange Traded Notes

   University essay from KTH/Matematisk statistik

   Author : Axel Broström; Richard Krstiansson; [2016]
   Keywords : ;

   Abstract : Exchange traded notes have recently seen a surge in popularity. Investors are pouring cash into these debt securities that track various underlying assets. Riskier leveraged exchange traded notes replicate the daily return of the underlying asset multiplied by a lever. READ MORE

4. 3. Replication strategies of derivatives under proportional transaction costs - An extension to the Boyle and Vorst model

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Henrik Brunlid; [2005]
   Keywords : transaction costs; replicating portfolio; option pricing; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : When we introduce transaction costs the perfect Black and Scholes hedge, consisting of the underlying stock and a risk free asset, becomes infinitely expensive. By loosening the pure arbitrage argument and only considering the expected transaction costs, one can find an upper bound on the price of an option. READ MORE