On long-term arbitrage opportunities in Markovian models of financial markets

DOI10.1007/s10479-011-0892-5zbMath1255.90084OpenAlexW2084584557MaRDI QIDQ1931649

Martin L. D. Mbele Bidima, Miklós Rásonyi

Publication date: 15 January 2013

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-011-0892-5

zbMATH Keywords

Markov chainslarge deviationsasymptotic arbitrageloss probability

Mathematics Subject Classification ID

Stochastic programming (90C15) Stochastic models in economics (91B70) Large deviations (60F10) Financial applications of other theories (91G80)

Related Items (3)

Asymptotic exponential arbitrage in the Schwartz commodity futures model ⋮ A Note on Asymptotic Exponential Arbitrage with Exponentially Decaying Failure Probability ⋮ Asymptotic exponential arbitrage and utility-based asymptotic arbitrage in Markovian models of financial markets

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• Mean‐Reverting Market Model: Speculative Opportunities and Non‐Arbitrage

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