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The arbitrage pricing theory, macroeconomic and financial factors, and expectations generating processes

Article Abstract:

An alternative methodology for testing the arbitrage pricing theory is developed. The technique generates the unexpected components which is based on expectations formation as a learning process, as opposed to the use of prespecified observed variables which relies on the construction of unexpected components of the variables. It also results in more reliable inferences regarding tests and applications of the arbitrage pricing theory.

Author: Priestley, Richard
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 1996
Analysis, Capital assets pricing model, Capital asset pricing model

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Valuing the strategic option to sell life insurance business: Theory and evidence

Article Abstract:

An option pricing method within an asset-liability valuation model is demonstrated for use in estimating the incentives facing stock-based life insurance firms.

Author: Klumpes, Paul J.M., Shackleton, Mark B.
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2000
Management, Insurance industry, Life insurance industry

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A linearly implicit predictorucorrector scheme for pricing American options using a penalty method approach

Article Abstract:

A penalty method approach for American options pricing in linearly and predicator corrector schemes is presented.

Author: Khaliq, A.Q.M., Voss, D.A., Kazmi, S.H.K.
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2006
United States, Capital funds & cash flow, Pricing Policy, Linear programming, Usage, Options (Finance), Valuation, Product price

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Subjects list: Methods, Pricing
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