A comparative analysis of security pricing using factor, macrovariable and arbitrage pricing models

1998 ◽  
Vol 22 (2-3) ◽  
pp. 21-41 ◽  
Author(s):  
Suat Teker ◽  
Oscar Varela
Keyword(s):  
Comparative Analysis ◽  
Arbitrage Pricing ◽  
Pricing Models ◽  
Security Pricing

Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?

1995 ◽  
Vol 68 (3) ◽  
pp. 309 ◽  
Author(s):  
Wayne E. Ferson ◽  
Robert A. Korajczyk
Keyword(s):  
Stock Returns ◽  
Arbitrage Pricing ◽  
Pricing Models

scholarly journals A Comparative Analysis of the Black-Scholes- Merton Model and the Heston Stochastic Volatility Model

2019 ◽  
Vol 39 ◽  
pp. 127-140
Author(s):  
Tahmid Tamrin Suki ◽  
ABM Shahadat Hossain
Keyword(s):  
Comparative Analysis ◽  
Stochastic Volatility ◽  
Stock Prices ◽  
Computer Algebra System ◽  
Stochastic Volatility Model ◽  
Affecting Factors ◽  
Pricing Models ◽  
Merton Model ◽  
Volatility Model ◽  
Black Scholes

This paper compares the performance of two different option pricing models, namely, the Black-Scholes-Merton (B-S-M) model and the Heston Stochastic Volatility (H-S-V) model. It is known that the most popular B-S-M Model makes the assumption that volatility of an asset is constant while the H-S-V model considers it to be random. We examine the behavior of both B-S-M and H-S-V formulae with the change of different affecting factors by graphical representations and hence assimilate them. We also compare the behavior of some of the Greeks computed by both of these models with changing stock prices and hence constitute 3D plots of these Greeks. All the numerical computations and graphical illustrations are generated by a powerful Computer Algebra System (CAS), MATLAB. GANIT J. Bangladesh Math. Soc.Vol. 39 (2019) 127-140

An Examination of Event Dependency and Structural Change in Security Pricing Models

1985 ◽  
Vol 20 (3) ◽  
pp. 315 ◽  
Author(s):  
Keith C. Brown ◽  
Larry J. Lockwood ◽  
Scott L. Lummer
Keyword(s):  
Structural Change ◽  
Pricing Models ◽  
Security Pricing

A comparative analysis of pricing models for enterprise cloud platforms

2013 Africon ◽  
2013 ◽  
Author(s):  
Promise Mvelase ◽  
George Sibiya ◽  
Nomusa Dlodlo ◽  
John Oladosu ◽  
Matthew Adigun
Keyword(s):  
Comparative Analysis ◽  
Pricing Models

A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework

2009 ◽  
Vol 16 (4) ◽  
pp. 9-37 ◽  
Author(s):  
X. Burtschell ◽  
Jonathan Gregory ◽  
Jean-Paul Laurent
Keyword(s):  
Comparative Analysis ◽  
Pricing Models ◽  
Cdo Pricing

Funds, Factors, and Diversification in Arbitrage Pricing Models

Econometrica ◽  
1983 ◽  
Vol 51 (5) ◽  
pp. 1305 ◽  
Author(s):  
Gary Chamberlain
Keyword(s):  
Arbitrage Pricing ◽  
Pricing Models

scholarly journals Asset Attribution Stability And Portfolio Construction: An Educational Example

2014 ◽  
Vol 7 (2) ◽  
pp. 115-120
Author(s):  
James T. Chong ◽  
William P. Jennings ◽  
G. Michael Phillips
Keyword(s):  
Asset Pricing ◽  
Portfolio Construction ◽  
Arbitrage Pricing ◽  
Pricing Models ◽  
Portfolio Returns ◽  
Asset Pricing Models ◽  
Using Data ◽  
Capm Model ◽  
Separation Test

This paper illustrates how a third statistic from asset pricing models, the R-squared statistic, may have information that can help in portfolio construction. Using a traditional CAPM model in comparison to an 18-factor Arbitrage Pricing Style Model, a portfolio separation test is conducted. Portfolio returns and risk metrics are compared using data from the Dow Jones 30 stocks over the period January 2007 through October 2013. Various teaching points are discussed and illustrated.

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