Narrowing the no-arbitrage bounds

The broadness of no-arbitrage bounds on asset prices has led to a number of suggestions on how to narrow them. This paper points out that another, apparently unexploited, opportunity exists for narrowing the no-arbitrage bounds, using information on the production technology. The key analytic concept is that of the derivative-cost function, which is used to define a notion of arbitrage that encompasses both the basis assets and stochastic production opportunities


Issue Date:
2003-10
Publication Type:
Working or Discussion Paper
DOI and Other Identifiers:
Record Identifier:
https://ageconsearch.umn.edu/record/150346
PURL Identifier:
http://purl.umn.edu/150346
Total Pages:
27
JEL Codes:
D81; G12
Series Statement:
Risk and Uncertainty Program
3/R03




 Record created 2017-04-01, last modified 2019-08-29

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