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  • Articles  (7,386)
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  • Articles  (7,386)
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  • 2020-2022
  • 2010-2014  (6,082)
  • 1990-1994  (930)
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  • 1
    Electronic Resource
    Electronic Resource
    Option Pricing With V. G. Martingale Components (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 1 (1991), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: European call options are priced when the uncertainty driving the stock price follows the V. G. stochastic process (Madan and Seneta 1990). the incomplete markets equilibrium change of measure is approximated and identified using the log return mean, variance, and kurtosis. an exact equilibrium interpretation is also provided, allowing inference about relative risk aversion coefficients from option prices. Relative to Black-Scholes, V. G. option values are higher, particularly so for out of the money options with long maturity on stocks with high means, low variances, and high kurtosis.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1991.tb00018.x
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  • 2
    Electronic Resource
    Electronic Resource
    A Stochastic Extension of the Miller-Modigliani Framework (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 1 (1991), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: This paper deals with the problem of the financial valuation of a firm and its shares of stock with general financing policies in a partial equilibrium framework. the model assumes a time-dependent discount rate and a general stochastic environment in a discrete-time setting. the fundamental valuation approach under the assumption of risk neutrality is used to obtain the time path of share price, the number of outstanding shares, and the value of the firm. These are shown to be the unique conditional expectations of certain stochastic processes. A broad class of firms for which the solution formula yields finite-valued solutions is characterized. the results are extended to the non-risk-neutral case. A regularity condition, which is both necessary and sufficient for the share price to equal the capitalization of future dividends accruing to the share, is obtained. As a mathematical aside, it is shown in the appendix that in the absence of this condition, the so-called stream of dividends approach is meaningless in the sense that it does not yield any financial valuation.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1991.tb00019.x
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  • 3
    Electronic Resource
    Electronic Resource
    ERRATUM: risk-Aversion Behavior In Consumption/Investment Problems (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 1 (1991), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1991.tb00011.x
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  • 4
    Electronic Resource
    Electronic Resource
    Editorial Policy (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 1 (1991), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1991.tb00006.x
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  • 5
    Electronic Resource
    Electronic Resource
    BOOK REVIEW (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 1 (1991), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Book review in this Article financial engineering: a handbook of derivative products, by S. eckl, J. N. robinson, and D. C. Thomas
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1991.tb00021.x
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  • 6
    Electronic Resource
    Electronic Resource
    Consumption and Portfolio Policies With Incomplete Markets and Short-Sale Constraints: the Finite-Dimensional Case (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 1 (1991), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We use a martingale approach to study optimal intertemporal consumption and portfolio policies in a general discrete-time, discrete-state-space securities market with dynamically incomplete markets and short-sale constraints. We characterize the set of feasible consumption bundles as the budget-feasible set defined by constraints formed using the extreme points of the closure of the set of Arrow-Debreu state prices consistent with no arbitrage, and then establish a relationship between the original problem and a dual minimization problem.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1991.tb00012.x
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  • 7
    Electronic Resource
    Electronic Resource
    Arbitrage Values Generally Depend On A Parametric Rate of Return (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 1 (1991), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: Let X denote a positive Markov stochastic integral, and let S(t, μ) = exp(μt)X(t) represent the price of a security at time t with infinitesimal rate of return μ. Contingent claim (option) pricing formulas typically do not depend on μ. We show that if a contingent claim is not equivalent to a call option having exercise price equal to zero, then security prices having this property—option prices do not depend on μ—must satisfy: for some V (0, T), In(S(t, μ)X(V)) is Gaussian on a time interval [V, T], and hence S(t, μ) has independent observed returns. With more assumptions, V= 0, and there exist equivalent martingale measures.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1991.tb00015.x
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  • 8
    Electronic Resource
    Electronic Resource
    Optimal Stopping and the American Put (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 1 (1991), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We show that the problem of pricing the American put is equivalent to solving an optimal stopping problem. the optimal stopping problem gives rise to a parabolic free-boundary problem. We show there is a unique solution to this problem which has a lower boundary. We identify an integral equation solved by the boundary and show that it is the unique solution to this equation satisfying certain natural additional conditions. the proofs also give a natural decomposition of the price of the American option as the sum of the price of the European option and an “American premium.”
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1991.tb00007.x
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  • 9
    Electronic Resource
    Electronic Resource
    Editorial Policy (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 1 (1991), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1991.tb00001.x
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  • 10
    Electronic Resource
    Electronic Resource
    Universal Portfolios (1991)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 1 (1991), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: We exhibit an algorithm for portfolio selection that asymptotically outperforms the best stock in the market. Let xi= (xi, xi2,…, xim)t denote the performance of the stock market on day i, where xii is the factor by which the jth stock increases on day i. Let bi= (bi1 bi2, bim)t, b;ij≫ 0, bij= 1, denote the proportion bij of wealth invested in the j th stock on day i. Then Sn= IIin= bitxi is the factor by which wealth is increased in n trading days. Consider as a goal the wealth Sn*= maxb IIin=1 btxi that can be achieved by the best constant rebalanced portfolio chosen after the stock outcomes are revealed. It can be shown that Sn * exceeds the best stock, the Dow Jones average, and the value line index at time n. In fact, Sn* usually exceeds these quantities by an exponential factor. Let x1, x2, be an arbitrary sequence of market vectors. It will be shown that the nonanticipating sequence of portfolios 〈inlineGraphic alt="inline image" href="urn:x-wiley:09601627:MAFI1:MAFI_1_mu1" location="equation/MAFI_1_mu1.gif"/〉 db yields wealth 〈inlineGraphic alt="inline image" href="urn:x-wiley:09601627:MAFI1:MAFI_1_mu2" location="equation/MAFI_1_mu2.gif"/〉 such that 〈inlineGraphic alt="inline image" href="urn:x-wiley:09601627:MAFI1:MAFI_1_mu3" location="equation/MAFI_1_mu3.gif"/〉, for every bounded sequence x1, x2…, and, under mild conditions, achieve〈displayedItem type="mathematics" xml:id="mu4" numbered="no"〉〈mediaResource alt="image" href="urn:x-wiley:09601627:MAFI1:MAFI_1_mu4"/〉where J, is an (m - 1) x (m - I) sensitivity matrix. Thus this portfolio strategy has the same exponential rate of growth as the apparently unachievable S*n.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1991.tb00002.x
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