SECURITY MARKETS WITH PRICE LIMITS: A BAYESIAN APPROACH

DOI10.1142/S0219024906003585MaRDI QIDQ5483443zbMATHFDO

Authors Arie Harel, Giora Harpaz

Publication date 14 August 2006

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Bayesian analysisasset pricingprice limitsreturn predictions

Mathematics Subject Classification ID

Recommendations

• PRICING SECURITIES WITH EXCHANGE-IMPOSED PRICE LIMITS VIA RISK NEUTRAL VALUATION
• Estimating the effect of price limits on limit‐hitting days
• Daily price limits and destructive market behavior
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• Speculative markets and the effectiveness of price limits

Cites work

• Equivalent Comparisons of Experiments
• Price limits and stock market volatility.

Cited in

(4)

• Limits of Bayesian decision related quantities of binomial asset price models
• scientific article; zbMATH DE number 1836445 (Why is no real title available?)
• Estimating the effect of price limits on limit‐hitting days
• PRICING SECURITIES WITH EXCHANGE-IMPOSED PRICE LIMITS VIA RISK NEUTRAL VALUATION

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