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2019•Oxford University Press eBooksRequires access

Asset Pricing III: Arbitrage-Based Pricing

Harold Linh Cole

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Abstract

This chapter develops a arbitrage-based pricing model in which the extent to which the stochastic discount factor varies is unrestricted.

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What this paper is about

This chapter develops a arbitrage-based pricing model in which the extent to which the stochastic discount factor varies is unrestricted.

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Available abstract

This chapter develops a arbitrage-based pricing model in which the extent to which the stochastic discount factor varies is unrestricted.

Key concepts: Arbitrage pricing theory, Capital asset pricing model, Financial economics, Arbitrage, Index arbitrage, Investment theory, Consumption-based capital asset pricing model, Rational pricing

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