Arbitrage in skew Brownian motion models (Q2427806)

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Arbitrage in skew Brownian motion models
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    title
    Arbitrage in skew Brownian motion models (English)
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    author
    Damiano Rossello
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    publication date
    18 April 2012
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    zbMATH DE Number
    6025304
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    zbMATH Keywords
    skew Brownian motion
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    semimartingale
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    asymmetric returns
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    no free lunch with vanishing risk
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    no arbitrage
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    absolute continuity
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    OpenAlex ID
    W1974450548
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