Building good deals with arbitrage-free discrete time pricing models

  1. Balbás Aparicio, Beatriz
  2. Balbás Aparicio, Raquel
Revista:
The Spanish Review of Financial Economics

ISSN: 2173-1268

Año de publicación: 2012

Volumen: 10

Número: 2

Páginas: 53-61

Tipo: Artículo

DOI: 10.1016/J.SRFE.2012.06.001 DIALNET GOOGLE SCHOLAR lock_openAcceso abierto editor

Otras publicaciones en: The Spanish Review of Financial Economics

Resumen

Recent literature has proved that many classical very important pricing models of Financial Economics (Black and Scholes, Heston, etc.) and risk measures (VaR, CVaR, etc.) may lead to �pathological meaningless situations�, since there exist sequences of portfolios whose negative risk and positive expected return are unbounded. Such a sequence of strategies will be called �good deal�.

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Información de financiación

This research was partially supported by “ WELZIA MANAGEMENT, SGIIC, S.A. ” , “ Comunidad Autónoma de Madrid ” (Spain) , Grant S2009/ESP-1594 , and “ MICIN” (Spain) , Grant ECO2009-14457-C04 .

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