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- Arbitrage-Free Price Ranges for nth-to-Default Swaps
- The arbitrage-free range of values of the loss leg of an nth-to-default swap, and the arbitrage-free range of premium payments for such a swap, are derived for homogeneous baskets of arbitrary numbers of reference entities. Elementary arbitrage arguments are given which show that arbitrage opportunities exist if the prices lie...
- White papers 2004-11-29
Additional Resources
- Capital Structure Arbitrage: An Empirical Investigation Using Stocks and High Yield Bonds
- Capital structure arbitrage is one of the most recent hedge fund strategies that are rapidly gaining popularity amongst traders. This paper looks at the possibility of arbitraging mispricings between a company's high yield bond and stock. The argument behind the strategy is that the equity and debt markets quite often...
- White papers 2004-02-01
- Put-Call Parity and Arbitrage Opportunity
- An important principle in options pricing is called put-call parity. It says that the value of a call option at one strike price implies a certain fair value for the corresponding put, and vice versa. The argument for this pricing relationship relies on the arbitrage opportunity that results if there...
- White papers 2005-01-19
- Are VIX Futures Signaling End of Year Slump?
- Mark Barath submits: In a perfect world the value of standardized futures on deliverable assets is determined via arbitrage argument, or FP = SP*(1+RF)^t. But a unique opportunity arises in the pricing of futures that can not be arbitraged. In this scenario there is only one force setting the price:...
- External links 2008-08-24
- Google Finally Links AdWords To DoubleClick
- Google is ready to fully leap into the display ad market, arguing it can do for that category what it has done for search. Ever since its $3.1 billion acquisition of DoubleClick two years ago, Google (NSDQ: GOOG) has promised to make it easy to manage both search and...
- External links 2009-09-18
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