Arbitrage in skew Brownian motion models

DOI10.1016/j.insmatheco.2011.10.004zbMath1235.91179MaRDI QIDQ2427806

Damiano Rossello

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

zbMATH Keywords

no arbitrage; absolute continuity; semimartingale; skew Brownian motion; no free lunch with vanishing risk; asymmetric returns

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

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