Arbitrage in skew Brownian motion models
From MaRDI portal
Publication:2427806
DOI10.1016/j.insmatheco.2011.10.004zbMath1235.91179MaRDI QIDQ2427806
Publication date: 18 April 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.10.004
no arbitrage; absolute continuity; semimartingale; skew Brownian motion; no free lunch with vanishing risk; asymmetric returns
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
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