A New Approach to International Arbitrage Pricing
Published
Journal Article
This paper uses a nonlinear arbitrage‐pricing model, a conditional linear model, and an unconditional linear model to price international equities, bonds, and forward currency contracts. Unlike linear models, the nonlinear arbitrage‐pricing model requires no restrictions on the payoff space, allowing it to price payoffs of options, forward contracts, and other derivative securities. Only the nonlinear arbitrage‐pricing model does an adequate job of explaining the time series behavior of a cross section of international returns. 1993 The American Finance Association
Full Text
Duke Authors
Cited Authors
- BANSAL, R; HSIEH, DA; VISWANATHAN, S
Published Date
- January 1, 1993
Published In
Volume / Issue
- 48 / 5
Start / End Page
- 1719 - 1747
Electronic International Standard Serial Number (EISSN)
- 1540-6261
International Standard Serial Number (ISSN)
- 0022-1082
Digital Object Identifier (DOI)
- 10.1111/j.1540-6261.1993.tb05126.x
Citation Source
- Scopus