Mean‐Reverting Market Model: Speculative Opportunities and Non‐Arbitrage
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Publication:5459529
DOI10.1080/13504860701255078zbMATH Open1143.91016OpenAlexW3124587418MaRDI QIDQ5459529FDOQ5459529
Authors: Nikolai Dokuchaev 
Publication date: 29 April 2008
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13504860701255078
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- A COMMENT ON MARKET FREE LUNCH AND FREE LUNCH
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Cited In (6)
- On Novikov and arbitrage properties of multidimensional diffusion processes with exploding drift
- Asymptotic exponential arbitrage in the Schwartz commodity futures model
- Speculative trading in mean reverting markets
- Asymptotic exponential arbitrage and utility-based asymptotic arbitrage in Markovian models of financial markets
- Mean-reverting discrete time market models: speculative opportunities and absence of arbitrage
- On long-term arbitrage opportunities in Markovian models of financial markets
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