A New Approach to International Arbitrage Pricing
用非线性套利定价模型、条件线性模型和无条件线性模型给国际股票、债券和远期外汇合约定价，发现只有非线性模型能解释国际收益的时序行为。
ABSTRACT This paper uses a nonlinear arbitrage‐pricing model, a conditional linear model, and an unconditional linear model to price international equities, bonds, and forward currency contracts. Unlike linear models, the nonlinear arbitrage‐pricing model requires no restrictions on the payoff space, allowing it to price payoffs of options, forward contracts, and other derivative securities. Only the nonlinear arbitrage‐pricing model does an adequate job of explaining the time series behavior of a cross section of international returns.