Sökning: "arbitrage pricing"

Visar resultat 26 - 30 av 45 uppsatser innehållade orden arbitrage pricing.

  1. 26. The Effect of Congestion Charge and Fuel Arbitrage on Air Quality in Stockholm

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Yan Chen; [2013]
    Nyckelord :Air quality; Congestion charge; Green cars; Fuel sales; Stockholm;

    Sammanfattning : In August 2007, the congestion charge is launched in Stockholm after a seven-month trial period in 2006. This paper applies empirical methods to estimate the effects of the implementation of congestion charge on the air quality in Stockholm. I find that the trial and permanent congestion tax have reduced the emissions of major air pollutants. LÄS MER

  3. 27. Game contingent claims

    Magister-uppsats, KTH/Matematisk statistik

    Författare :Daniel Eliasson; [2012]
    Nyckelord :Game contingent claims; game options; Israeli options; Dynkin games; zero-sum games; non-zero-sum games; Monte-Carlo simulation; pricing;

    Sammanfattning : Abstract Game contingent claims (GCCs), as introduced by Kifer (2000), are a generalization of American contingent claims where the writer has the opportunity to terminate the contract, and must then pay the intrinsic option value plus a penalty. In complete markets, GCCs are priced using no-arbitrage arguments as the value of a zero-sum stochastic game of the type described in Dynkin (1969). LÄS MER

  4. 28. Efficiency in the Nord Pool Electricity Exchange

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Ola Skånberg; [2012]
    Nyckelord :Stationarity; Efficient market hypothesis; Arbitrage; Business and Economics;

    Sammanfattning : In recent years criticism of the electricity market has been emerging. Some claim that for Sweden, the deregulation of the power market in 1996 (and consequently Sweden’s involvement in Nord Pool) has been a driving factor of rising electricity prices and a non-efficient market for electricity. LÄS MER

  5. 29. Pricing Inflation Derivatives : A survey of short rate- and market models

    Magister-uppsats, KTH/Matematisk statistik

    Författare :Damr Tewolde Berhan; [2012]
    Nyckelord :;

    Sammanfattning : This thesis presents an overview of strategies for pricing inflation derivatives. The paper is structured as follows. Firstly, the basic definitions and concepts such as nominal-, real- and inflation rates are introduced. LÄS MER

  7. 30. Futures-Spot Arbitrage of Stock Index Futures in China : Empirical Study on Arbitrage Strategy

    Magister-uppsats, Handelshögskolan vid Umeå universitet

    Författare :XUE PENG; YU FANG; [2010]
    Nyckelord :Stock Index Futures Arbitrage;

    Sammanfattning : The main purpose of this thesis is to investigate what is the optimal futures-spot arbitrage strategy for China‘s stock index futures investment. Specifically, Index replication method and no-arbitrage pricing model are examined. We compare the different combinations of ETFs portfolio in mainland China with W.I. LÄS MER