Arbitrage problems with reflected geometric Brownian motion

Gespeichert in:

Autor*in:	Buckner, Dean [verfasserIn] Dowd, Kevin - 1958- [verfasserIn] Hulley, Hardy [verfasserIn]

Format:	E-Artikel
Sprache:	Englisch

Erschienen:	2024

Schlagwörter:	Arbitrage Contingent claim valuation Local time Reflected geometric Brownian motion

Übergeordnetes Werk:	Enthalten in: Finance and stochastics - Berlin : Springer, 1996, 28(2024), 1 vom: Jan., Seite 1-26
Übergeordnetes Werk:	volume:28 ; year:2024 ; number:1 ; month:01 ; pages:1-26

Links:	Link aufrufen Link aufrufen

DOI / URN:	10.1007/s00780-023-00525-x

Katalog-ID:	1877903841

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912			\|a GBV_ILN_2021
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912			\|a GBV_ILN_2034
912			\|a GBV_ILN_2037
912			\|a GBV_ILN_2038
912			\|a GBV_ILN_2039
912			\|a GBV_ILN_2044
912			\|a GBV_ILN_2048
912			\|a GBV_ILN_2049
912			\|a GBV_ILN_2050
912			\|a GBV_ILN_2055
912			\|a GBV_ILN_2056
912			\|a GBV_ILN_2057
912			\|a GBV_ILN_2059
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912			\|a GBV_ILN_2064
912			\|a GBV_ILN_2065
912			\|a GBV_ILN_2068
912			\|a GBV_ILN_2088
912			\|a GBV_ILN_2093
912			\|a GBV_ILN_2106
912			\|a GBV_ILN_2107
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912			\|a GBV_ILN_2113
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912			\|a GBV_ILN_2122
912			\|a GBV_ILN_2129
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912			\|a GBV_ILN_2152
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912			\|a GBV_ILN_2190
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912			\|a GBV_ILN_2522
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Indexfelder

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allfields	10.1007/s00780-023-00525-x doi (DE-627)1877903841 (DE-599)KXP1877903841 DE-627 ger DE-627 rda eng Buckner, Dean verfasserin aut Arbitrage problems with reflected geometric Brownian motion Dean Buckner, Kevin Dowd, Hardy Hulley 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Arbitrage (dpeaa)DE-206 Contingent claim valuation (dpeaa)DE-206 Local time (dpeaa)DE-206 Reflected geometric Brownian motion (dpeaa)DE-206 Dowd, Kevin 1958- verfasserin (DE-588)17024170X (DE-627)060300760 (DE-576)165298197 aut Hulley, Hardy verfasserin aut Enthalten in Finance and stochastics Berlin : Springer, 1996 28(2024), 1 vom: Jan., Seite 1-26 Online-Ressource (DE-627)266018939 (DE-600)1467022-7 (DE-576)078589908 1432-1122 nnns volume:28 year:2024 number:1 month:01 pages:1-26 https://link.springer.com/content/pdf/10.1007/s00780-023-00525-x.pdf Verlag kostenfrei https://doi.org/10.1007/s00780-023-00525-x Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_267 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 28 2024 1 1 1-26 26 01 0206 4454423342 x1z 11-01-24 2403 01 DE-LFER 4476376975 00 --%%-- --%%-- n --%%-- l01 05-02-24 2403 01 DE-LFER https://doi.org/10.1007/s00780-023-00525-x 2403 01 DE-LFER https://link.springer.com/content/pdf/10.1007/s00780-023-00525-x.pdf 26 00 DE-206 Contrary to the claims made by several authors, a financial market model in which the price of a risky security follows a reflected geometric Brownian motion is not arbitrage-free. In fact, such models violate even the weakest no-arbitrage condition considered in the literature. Consequently, they do not admit numéraire portfolios or equivalent risk-neutral probability measures, which makes them unsuitable for contingent claim valuation. Unsurprisingly, the published option pricing formulae for such models violate classical no-arbitrage bounds.
spelling	10.1007/s00780-023-00525-x doi (DE-627)1877903841 (DE-599)KXP1877903841 DE-627 ger DE-627 rda eng Buckner, Dean verfasserin aut Arbitrage problems with reflected geometric Brownian motion Dean Buckner, Kevin Dowd, Hardy Hulley 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Arbitrage (dpeaa)DE-206 Contingent claim valuation (dpeaa)DE-206 Local time (dpeaa)DE-206 Reflected geometric Brownian motion (dpeaa)DE-206 Dowd, Kevin 1958- verfasserin (DE-588)17024170X (DE-627)060300760 (DE-576)165298197 aut Hulley, Hardy verfasserin aut Enthalten in Finance and stochastics Berlin : Springer, 1996 28(2024), 1 vom: Jan., Seite 1-26 Online-Ressource (DE-627)266018939 (DE-600)1467022-7 (DE-576)078589908 1432-1122 nnns volume:28 year:2024 number:1 month:01 pages:1-26 https://link.springer.com/content/pdf/10.1007/s00780-023-00525-x.pdf Verlag kostenfrei https://doi.org/10.1007/s00780-023-00525-x Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_267 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 28 2024 1 1 1-26 26 01 0206 4454423342 x1z 11-01-24 2403 01 DE-LFER 4476376975 00 --%%-- --%%-- n --%%-- l01 05-02-24 2403 01 DE-LFER https://doi.org/10.1007/s00780-023-00525-x 2403 01 DE-LFER https://link.springer.com/content/pdf/10.1007/s00780-023-00525-x.pdf 26 00 DE-206 Contrary to the claims made by several authors, a financial market model in which the price of a risky security follows a reflected geometric Brownian motion is not arbitrage-free. In fact, such models violate even the weakest no-arbitrage condition considered in the literature. Consequently, they do not admit numéraire portfolios or equivalent risk-neutral probability measures, which makes them unsuitable for contingent claim valuation. Unsurprisingly, the published option pricing formulae for such models violate classical no-arbitrage bounds.
allfields_unstemmed	10.1007/s00780-023-00525-x doi (DE-627)1877903841 (DE-599)KXP1877903841 DE-627 ger DE-627 rda eng Buckner, Dean verfasserin aut Arbitrage problems with reflected geometric Brownian motion Dean Buckner, Kevin Dowd, Hardy Hulley 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Arbitrage (dpeaa)DE-206 Contingent claim valuation (dpeaa)DE-206 Local time (dpeaa)DE-206 Reflected geometric Brownian motion (dpeaa)DE-206 Dowd, Kevin 1958- verfasserin (DE-588)17024170X (DE-627)060300760 (DE-576)165298197 aut Hulley, Hardy verfasserin aut Enthalten in Finance and stochastics Berlin : Springer, 1996 28(2024), 1 vom: Jan., Seite 1-26 Online-Ressource (DE-627)266018939 (DE-600)1467022-7 (DE-576)078589908 1432-1122 nnns volume:28 year:2024 number:1 month:01 pages:1-26 https://link.springer.com/content/pdf/10.1007/s00780-023-00525-x.pdf Verlag kostenfrei https://doi.org/10.1007/s00780-023-00525-x Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_267 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 28 2024 1 1 1-26 26 01 0206 4454423342 x1z 11-01-24 2403 01 DE-LFER 4476376975 00 --%%-- --%%-- n --%%-- l01 05-02-24 2403 01 DE-LFER https://doi.org/10.1007/s00780-023-00525-x 2403 01 DE-LFER https://link.springer.com/content/pdf/10.1007/s00780-023-00525-x.pdf 26 00 DE-206 Contrary to the claims made by several authors, a financial market model in which the price of a risky security follows a reflected geometric Brownian motion is not arbitrage-free. In fact, such models violate even the weakest no-arbitrage condition considered in the literature. Consequently, they do not admit numéraire portfolios or equivalent risk-neutral probability measures, which makes them unsuitable for contingent claim valuation. Unsurprisingly, the published option pricing formulae for such models violate classical no-arbitrage bounds.
allfieldsGer	10.1007/s00780-023-00525-x doi (DE-627)1877903841 (DE-599)KXP1877903841 DE-627 ger DE-627 rda eng Buckner, Dean verfasserin aut Arbitrage problems with reflected geometric Brownian motion Dean Buckner, Kevin Dowd, Hardy Hulley 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Arbitrage (dpeaa)DE-206 Contingent claim valuation (dpeaa)DE-206 Local time (dpeaa)DE-206 Reflected geometric Brownian motion (dpeaa)DE-206 Dowd, Kevin 1958- verfasserin (DE-588)17024170X (DE-627)060300760 (DE-576)165298197 aut Hulley, Hardy verfasserin aut Enthalten in Finance and stochastics Berlin : Springer, 1996 28(2024), 1 vom: Jan., Seite 1-26 Online-Ressource (DE-627)266018939 (DE-600)1467022-7 (DE-576)078589908 1432-1122 nnns volume:28 year:2024 number:1 month:01 pages:1-26 https://link.springer.com/content/pdf/10.1007/s00780-023-00525-x.pdf Verlag kostenfrei https://doi.org/10.1007/s00780-023-00525-x Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_267 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 28 2024 1 1 1-26 26 01 0206 4454423342 x1z 11-01-24 2403 01 DE-LFER 4476376975 00 --%%-- --%%-- n --%%-- l01 05-02-24 2403 01 DE-LFER https://doi.org/10.1007/s00780-023-00525-x 2403 01 DE-LFER https://link.springer.com/content/pdf/10.1007/s00780-023-00525-x.pdf 26 00 DE-206 Contrary to the claims made by several authors, a financial market model in which the price of a risky security follows a reflected geometric Brownian motion is not arbitrage-free. In fact, such models violate even the weakest no-arbitrage condition considered in the literature. Consequently, they do not admit numéraire portfolios or equivalent risk-neutral probability measures, which makes them unsuitable for contingent claim valuation. Unsurprisingly, the published option pricing formulae for such models violate classical no-arbitrage bounds.
allfieldsSound	10.1007/s00780-023-00525-x doi (DE-627)1877903841 (DE-599)KXP1877903841 DE-627 ger DE-627 rda eng Buckner, Dean verfasserin aut Arbitrage problems with reflected geometric Brownian motion Dean Buckner, Kevin Dowd, Hardy Hulley 2024 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Arbitrage (dpeaa)DE-206 Contingent claim valuation (dpeaa)DE-206 Local time (dpeaa)DE-206 Reflected geometric Brownian motion (dpeaa)DE-206 Dowd, Kevin 1958- verfasserin (DE-588)17024170X (DE-627)060300760 (DE-576)165298197 aut Hulley, Hardy verfasserin aut Enthalten in Finance and stochastics Berlin : Springer, 1996 28(2024), 1 vom: Jan., Seite 1-26 Online-Ressource (DE-627)266018939 (DE-600)1467022-7 (DE-576)078589908 1432-1122 nnns volume:28 year:2024 number:1 month:01 pages:1-26 https://link.springer.com/content/pdf/10.1007/s00780-023-00525-x.pdf Verlag kostenfrei https://doi.org/10.1007/s00780-023-00525-x Resolving-System kostenfrei GBV_USEFLAG_U GBV_ILN_26 ISIL_DE-206 SYSFLAG_1 GBV_KXP GBV_ILN_11 GBV_ILN_20 GBV_ILN_22 GBV_ILN_23 GBV_ILN_24 GBV_ILN_31 GBV_ILN_32 GBV_ILN_39 GBV_ILN_40 GBV_ILN_60 GBV_ILN_62 GBV_ILN_63 GBV_ILN_69 GBV_ILN_70 GBV_ILN_73 GBV_ILN_74 GBV_ILN_90 GBV_ILN_95 GBV_ILN_100 GBV_ILN_105 GBV_ILN_110 GBV_ILN_120 GBV_ILN_138 GBV_ILN_150 GBV_ILN_151 GBV_ILN_152 GBV_ILN_161 GBV_ILN_170 GBV_ILN_171 GBV_ILN_187 GBV_ILN_213 GBV_ILN_224 GBV_ILN_230 GBV_ILN_250 GBV_ILN_267 GBV_ILN_281 GBV_ILN_285 GBV_ILN_293 GBV_ILN_370 GBV_ILN_602 GBV_ILN_636 GBV_ILN_702 GBV_ILN_2001 GBV_ILN_2003 GBV_ILN_2004 GBV_ILN_2005 GBV_ILN_2006 GBV_ILN_2007 GBV_ILN_2009 GBV_ILN_2010 GBV_ILN_2011 GBV_ILN_2014 GBV_ILN_2015 GBV_ILN_2020 GBV_ILN_2021 GBV_ILN_2025 GBV_ILN_2026 GBV_ILN_2027 GBV_ILN_2031 GBV_ILN_2034 GBV_ILN_2037 GBV_ILN_2038 GBV_ILN_2039 GBV_ILN_2044 GBV_ILN_2048 GBV_ILN_2049 GBV_ILN_2050 GBV_ILN_2055 GBV_ILN_2056 GBV_ILN_2057 GBV_ILN_2059 GBV_ILN_2061 GBV_ILN_2064 GBV_ILN_2065 GBV_ILN_2068 GBV_ILN_2088 GBV_ILN_2093 GBV_ILN_2106 GBV_ILN_2107 GBV_ILN_2108 GBV_ILN_2110 GBV_ILN_2111 GBV_ILN_2112 GBV_ILN_2113 GBV_ILN_2118 GBV_ILN_2122 GBV_ILN_2129 GBV_ILN_2143 GBV_ILN_2144 GBV_ILN_2147 GBV_ILN_2148 GBV_ILN_2152 GBV_ILN_2153 GBV_ILN_2188 GBV_ILN_2190 GBV_ILN_2232 GBV_ILN_2336 GBV_ILN_2446 GBV_ILN_2470 GBV_ILN_2472 GBV_ILN_2507 GBV_ILN_2522 GBV_ILN_2548 GBV_ILN_4035 GBV_ILN_4037 GBV_ILN_4046 GBV_ILN_4112 GBV_ILN_4125 GBV_ILN_4126 GBV_ILN_4242 GBV_ILN_4246 GBV_ILN_4249 GBV_ILN_4251 GBV_ILN_4305 GBV_ILN_4306 GBV_ILN_4307 GBV_ILN_4313 GBV_ILN_4322 GBV_ILN_4323 GBV_ILN_4324 GBV_ILN_4325 GBV_ILN_4326 GBV_ILN_4328 GBV_ILN_4333 GBV_ILN_4334 GBV_ILN_4335 GBV_ILN_4336 GBV_ILN_4338 GBV_ILN_4393 GBV_ILN_4700 GBV_ILN_2403 GBV_ILN_2403 ISIL_DE-LFER AR 28 2024 1 1 1-26 26 01 0206 4454423342 x1z 11-01-24 2403 01 DE-LFER 4476376975 00 --%%-- --%%-- n --%%-- l01 05-02-24 2403 01 DE-LFER https://doi.org/10.1007/s00780-023-00525-x 2403 01 DE-LFER https://link.springer.com/content/pdf/10.1007/s00780-023-00525-x.pdf 26 00 DE-206 Contrary to the claims made by several authors, a financial market model in which the price of a risky security follows a reflected geometric Brownian motion is not arbitrage-free. In fact, such models violate even the weakest no-arbitrage condition considered in the literature. Consequently, they do not admit numéraire portfolios or equivalent risk-neutral probability measures, which makes them unsuitable for contingent claim valuation. Unsurprisingly, the published option pricing formulae for such models violate classical no-arbitrage bounds.
language	English
source	Enthalten in Finance and stochastics 28(2024), 1 vom: Jan., Seite 1-26 volume:28 year:2024 number:1 month:01 pages:1-26
sourceStr	Enthalten in Finance and stochastics 28(2024), 1 vom: Jan., Seite 1-26 volume:28 year:2024 number:1 month:01 pages:1-26
format_phy_str_mv	Article
building	26:1 2403:0
institution	findex.gbv.de
selectbib_iln_str_mv	26@1z 2403@01
topic_facet	Arbitrage Contingent claim valuation Local time Reflected geometric Brownian motion
sw_local_iln_str_mv	26: DE-206:
isfreeaccess_bool	true
container_title	Finance and stochastics
authorswithroles_txt_mv	Buckner, Dean @@aut@@ Dowd, Kevin @@aut@@ Hulley, Hardy @@aut@@
publishDateDaySort_date	2024-01-01T00:00:00Z
hierarchy_top_id	266018939
id	1877903841
language_de	englisch
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" ind2=" "><subfield code="2">2403</subfield><subfield code="1">01</subfield><subfield code="x">DE-LFER</subfield><subfield code="b">4476376975</subfield><subfield code="c">00</subfield><subfield code="f">--%%--</subfield><subfield code="d">--%%--</subfield><subfield code="e">n</subfield><subfield code="j">--%%--</subfield><subfield code="y">l01</subfield><subfield code="z">05-02-24</subfield></datafield><datafield tag="981" ind1=" " ind2=" "><subfield code="2">2403</subfield><subfield code="1">01</subfield><subfield code="x">DE-LFER</subfield><subfield code="r">https://doi.org/10.1007/s00780-023-00525-x</subfield></datafield><datafield tag="981" ind1=" " ind2=" "><subfield code="2">2403</subfield><subfield code="1">01</subfield><subfield code="x">DE-LFER</subfield><subfield code="r">https://link.springer.com/content/pdf/10.1007/s00780-023-00525-x.pdf</subfield></datafield><datafield tag="982" ind1=" " ind2=" "><subfield code="2">26</subfield><subfield code="1">00</subfield><subfield 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In fact, such models violate even the weakest no-arbitrage condition considered in the literature. Consequently, they do not admit numéraire portfolios or equivalent risk-neutral probability measures, which makes them unsuitable for contingent claim valuation. Unsurprisingly, the published option pricing formulae for such models violate classical no-arbitrage bounds.</subfield></datafield></record></collection>
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author	Buckner, Dean
spellingShingle	Buckner, Dean misc Arbitrage misc Contingent claim valuation misc Local time misc Reflected geometric Brownian motion Arbitrage problems with reflected geometric Brownian motion
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topic_title	26 00 DE-206 Contrary to the claims made by several authors, a financial market model in which the price of a risky security follows a reflected geometric Brownian motion is not arbitrage-free. In fact, such models violate even the weakest no-arbitrage condition considered in the literature. Consequently, they do not admit numéraire portfolios or equivalent risk-neutral probability measures, which makes them unsuitable for contingent claim valuation. Unsurprisingly, the published option pricing formulae for such models violate classical no-arbitrage bounds Arbitrage problems with reflected geometric Brownian motion Dean Buckner, Kevin Dowd, Hardy Hulley Arbitrage (dpeaa)DE-206 Contingent claim valuation (dpeaa)DE-206 Local time (dpeaa)DE-206 Reflected geometric Brownian motion (dpeaa)DE-206
topic	misc Arbitrage misc Contingent claim valuation misc Local time misc Reflected geometric Brownian motion
topic_unstemmed	misc Arbitrage misc Contingent claim valuation misc Local time misc Reflected geometric Brownian motion
topic_browse	misc Arbitrage misc Contingent claim valuation misc Local time misc Reflected geometric Brownian motion
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title	Arbitrage problems with reflected geometric Brownian motion
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title_full	Arbitrage problems with reflected geometric Brownian motion Dean Buckner, Kevin Dowd, Hardy Hulley
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title_sort	arbitrage problems with reflected geometric brownian motion
title_auth	Arbitrage problems with reflected geometric Brownian motion
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container_issue	1
title_short	Arbitrage problems with reflected geometric Brownian motion
url	https://link.springer.com/content/pdf/10.1007/s00780-023-00525-x.pdf https://doi.org/10.1007/s00780-023-00525-x
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doi_str	10.1007/s00780-023-00525-x
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up_date	2024-07-04T14:35:38.916Z
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" ind2=" "><subfield code="2">2403</subfield><subfield code="1">01</subfield><subfield code="x">DE-LFER</subfield><subfield code="b">4476376975</subfield><subfield code="c">00</subfield><subfield code="f">--%%--</subfield><subfield code="d">--%%--</subfield><subfield code="e">n</subfield><subfield code="j">--%%--</subfield><subfield code="y">l01</subfield><subfield code="z">05-02-24</subfield></datafield><datafield tag="981" ind1=" " ind2=" "><subfield code="2">2403</subfield><subfield code="1">01</subfield><subfield code="x">DE-LFER</subfield><subfield code="r">https://doi.org/10.1007/s00780-023-00525-x</subfield></datafield><datafield tag="981" ind1=" " ind2=" "><subfield code="2">2403</subfield><subfield code="1">01</subfield><subfield code="x">DE-LFER</subfield><subfield code="r">https://link.springer.com/content/pdf/10.1007/s00780-023-00525-x.pdf</subfield></datafield><datafield tag="982" ind1=" " ind2=" "><subfield code="2">26</subfield><subfield code="1">00</subfield><subfield code="x">DE-206</subfield><subfield code="b">Contrary to the claims made by several authors, a financial market model in which the price of a risky security follows a reflected geometric Brownian motion is not arbitrage-free. In fact, such models violate even the weakest no-arbitrage condition considered in the literature. Consequently, they do not admit numéraire portfolios or equivalent risk-neutral probability measures, which makes them unsuitable for contingent claim valuation. Unsurprisingly, the published option pricing formulae for such models violate classical no-arbitrage bounds.</subfield></datafield></record></collection>
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Arbitrage problems with reflected geometric Brownian motion

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