Narrowing the no-arbitrage bounds

Robert G. Chambers and John Quiggin

No 150346, Risk and Sustainable Management Group Working Papers from University of Queensland, School of Economics

Abstract: The broadness of no-arbitrage bounds on asset prices has led to a number of suggestions on how to narrow them. This paper points out that another, apparently unexploited, opportunity exists for narrowing the no-arbitrage bounds, using information on the production technology. The key analytic concept is that of the derivative-cost function, which is used to define a notion of arbitrage that encompasses both the basis assets and stochastic production opportunities

Keywords: Risk; and; Uncertainty (search for similar items in EconPapers)
Pages: 27
Date: 2003-10
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Related works:
Journal Article: Narrowing the no-arbitrage bounds (2008)
Working Paper: Narrowing the No-Arbitrage Bounds
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Persistent link: https://EconPapers.repec.org/RePEc:ags:uqsers:150346

DOI: 10.22004/ag.econ.150346

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