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Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
 Journal of Financial Economics
, 1985
"... The presence of traders with superior information leads to a positive bidask spread even when the specialist is riskneutral and makes zero expected profits. The resulting transaction prices convey information, and the expectation of the average spread squared times volume is bounded by a number th ..."
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Cited by 1273 (5 self)
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The presence of traders with superior information leads to a positive bidask spread even when the specialist is riskneutral and makes zero expected profits. The resulting transaction prices convey information, and the expectation of the average spread squared times volume is bounded by a number
Equilibrium pricing bounds on option prices
"... We consider the problem of valuing European options in a complete market but with incomplete data. Typically, when the underlying asset dynamics is not specified, the martingale probability measure is unknown. Given a consensus on the actual distribution of the underlying price at maturity, we deriv ..."
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derive an upper bound on the call option price by putting two kind of restrictions on the pricing probability measure. First, we put a restriction on the second riskneutral moment of the underlying asset terminal value. Second, from equilibrium pricing arguments one can put a monotonicity restriction
Alternative Price Bounds in Incomplete Markets
, 2008
"... This paper develops an approach to tighten the bounds on asset prices in an incomplete market by combining noarbitrage pricing and preferencebased pricing, and the approach is applied to a call option in the absence of dynamic rebalancing. With the noarbitrage pricing, it is straightforward to ob ..."
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This paper develops an approach to tighten the bounds on asset prices in an incomplete market by combining noarbitrage pricing and preferencebased pricing, and the approach is applied to a call option in the absence of dynamic rebalancing. With the noarbitrage pricing, it is straightforward
Pricing and Upper Price Bounds of Relax Certificates
, 2008
"... Relax certificates are written on multiple underlying stocks. The payoff depends on a barrier condition such that it is path–dependent. So long as none of the underlying assets crosses a lower barrier, the investor receives the payoff of a coupon bond. Otherwise, there is a cash settlement at maturi ..."
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. Without considering the trivial case of one underlying, the price of the knockin minimum option is to be calculated numerically. Alternatively to exact pricing, we derive semi–closed form upper price bounds. These bounds are the lowest upper price bounds which can be derived without the usage
A unified theory of underreaction, momentum trading and overreaction in asset markets
, 1999
"... We model a market populated by two groups of boundedly rational agents: “newswatchers” and “momentum traders.” Each newswatcher observes some private information, but fails to extract other newswatchers’ information from prices. If information diffuses gradually across the population, prices underre ..."
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Cited by 606 (33 self)
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We model a market populated by two groups of boundedly rational agents: “newswatchers” and “momentum traders.” Each newswatcher observes some private information, but fails to extract other newswatchers’ information from prices. If information diffuses gradually across the population, prices
Fast subsequence matching in timeseries databases
 PROCEEDINGS OF THE 1994 ACM SIGMOD INTERNATIONAL CONFERENCE ON MANAGEMENT OF DATA
, 1994
"... We present an efficient indexing method to locate 1dimensional subsequences within a collection of sequences, such that the subsequences match a given (query) pattern within a specified tolerance. The idea is to map each data sequence into a small set of multidimensional rectangles in feature space ..."
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Cited by 533 (24 self)
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such trails into subtrails, which are subsequently represented by their Minimum Bounding Rectangles (MBRs). We also examine queries of varying lengths, and we show how to handle each case efficiently. We implemented our method and carried out experiments on synthetic and real data (stock price movements). We
Minimax Asset Price Bounds in Incomplete Markets
, 2006
"... This paper develops an approach to tighten the bounds on asset pricing in an incomplete market that combines noarbitrage pricing and preferencebased pricing, and the approach is applied to call options without dynamic rebalancing. With the noarbitrage pricing, it is straightforward to obtain the ..."
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This paper develops an approach to tighten the bounds on asset pricing in an incomplete market that combines noarbitrage pricing and preferencebased pricing, and the approach is applied to call options without dynamic rebalancing. With the noarbitrage pricing, it is straightforward to obtain
Robust price bounds for the forward starting straddle
, 2014
"... In this article we consider the problem of giving a robust, modelindependent, lower bound on the price of a forward starting straddle with payoff FT1−FT0  where 0 < T0 < T1. Rather than assuming a model for the underlying forward price (Ft)t≥0, we assume that call prices for maturities T0 & ..."
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Cited by 2 (0 self)
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In this article we consider the problem of giving a robust, modelindependent, lower bound on the price of a forward starting straddle with payoff FT1−FT0  where 0 < T0 < T1. Rather than assuming a model for the underlying forward price (Ft)t≥0, we assume that call prices for maturities T0
Online Search with TimeVarying Price Bounds
 ALGORITHMICA (2009 ) 55 : 619–642
, 2009
"... Online search is a basic online problem. The fact that its optimal deterministic/randomized solutions are given by simple formulas (however with difficult analysis) makes the problem attractive as a target to which other practical online problems can be transformed to find optimal solutions. Howeve ..."
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Cited by 1 (0 self)
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. However, since the upper/lower bounds of prices in available models are constant, natural online problems in which these bounds vary with time do not fit in the available models. We present two new models where the bounds of prices are not constant but vary with time in certain ways. The first model
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