๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Pricing of New Securities in an Incomplete Market: the Catch 22 of No-Arbitrage Pricing

โœ Scribed by Phelim Boyle; Tan Wang


Book ID
108550487
Publisher
John Wiley and Sons
Year
2001
Tongue
English
Weight
134 KB
Volume
11
Category
Article
ISSN
0960-1627

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


An intraday test of pricing and arbitrag
โœ Russell Poskitt ๐Ÿ“‚ Article ๐Ÿ“… 2002 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 223 KB ๐Ÿ‘ 2 views

## Abstract This paper examines pricing and arbitrage opportunities in the New Zealand bank bill futures market using an intraday data set. The key findings are: (a) the implied forward rate model yields biased estimates of the bill futures yield but the bias is small and not economically significa