Extracting factors from heteroskedastic asset returns
Article Abstract:
Heteroskedastic factor analysis is found to be more efficient than asymptotic principal components analysis when testing the Arbitrage Pricing Theory. This method may be more relevant for future research into single firm stock price volatility.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2001
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Pricing and hedging in incomplete markets
Article Abstract:
A new, more realistic approach to arbitrage and securities pricing and maximization of expected utility is presented. The method uses probabilities and floors which payoffs must be above for acceptability.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2001
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Time-changed levy processes and option pricing
Article Abstract:
Time-changed levy processes can simultaneously address the jumps of asset prices, varying of return volatilities and the correlation between the returns and volatilities.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2004
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