The proposed model is arbitrage-free across maturities and tenors, and thus perfectly suited for risk management and pricing purposes. We apply our framework to the pricing of caplets in order to illustrate its practical applicability and its suitability for stress testing.Riccardo Brignone · ...
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1. 无套利 ... 固定收益证券估值 其他估值方法 A: 债券估值的无套利(arbitrage-free)方法 • 两种途径 • YTM方法 • 以单一折现率折现所有 …www.docin.com|基于8个网页 例句 释义: 全部,无套利 更多例句筛选 1. Classical cost of carry model for the prices of stock index futures was derived ...
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前面的意思是无套利模型，无套利的英文是arbitrage free
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This paper derives a sufficient and necessary condition for arbitrage-free pricing, by the mathematical definition of linear dependency. It states that any pricing function that can be expressed as a linear combination of some of its partial derivatives inherently possesses the arbitrage-free property....
arbitragefree arbitragefrei arbitrage freedom名词金融 专业词汇 arbitragefreedom Arbitragefreiheitf arbitrage operation名词金融 专业词汇 arbitrageoperation Arbitragetransaktionf arbitrage portfolio名词金融 专业词汇 arbitrageportfolio Arbitrageportfoliont arbitrage possibility名词金融 ...
Arbitrage-free valuation is the value of an asset or financial instrument based solely on the real performance or cash flows that it generates. When an asset’s market price differs from its arbitrage-free value, then an opportunity for arbitrage exists by trading the asset for another asset or...
SABRTR-BDF2Crank-Nicolsonfinite differencefinanceThis paper applies finite difference schemes to the free-boundary SABR problem that allows negative rates without shift. We reuse Hagan's arbitrage free PDE appLe Floc'h, FabienSocial Science Electronic Publishing...