Kenyon, C;
Green, A;
(2014)
Regulatory costs break risk neutrality.
Risk
pp. 1-5.
![[thumbnail of 2014-09 RISK regulatory costs break risk neutrality.pdf]](https://discovery.ucl.ac.uk/style/images/fileicons/text.png) |
Text
2014-09 RISK regulatory costs break risk neutrality.pdf - Published Version Access restricted to UCL open access staff Download (302kB) |
Abstract
Increased regulation and market changes since 2007 have altered the perceived costs of many financial products. Here we prove that these changes are not just perception: they have had a fundamental effect on pricing theory. That is, we prove a market-wide risk-neutral measure that is common to all participants does not exist.
| Type: | Article |
|---|---|
| Title: | Regulatory costs break risk neutrality |
| Publisher version: | https://www.risk.net/derivatives/2361956/regulator... |
| Language: | English |
| Additional information: | This version is the author accepted manuscript. For information on re-use, please refer to the publisher's terms and conditions. |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Mathematics |
| URI: | https://discovery.ucl.ac.uk/id/eprint/10140257 |
Downloads since deposit
1Download
Download activity - last month
Download activity - last 12 months
Downloads by country - last 12 months
Archive Staff Only
 |
View Item |
