Simple arbitrage

DOI10.1214/11-AAP830zbMath1266.91092arXiv1210.5391MaRDI QIDQ691114

Christian Bender

Publication date: 29 November 2012

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.5391

zbMATH Keywords

fractional Brownian motionsimple strategiesconditional full supportobvious arbitrage

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items (11)

PREDICTION OF STOCK RETURNS MAY BE FALLACIOUS: A STOCHASTIC CONFIRMATION OF MALKIEL’S ASSERTION ON DARTBOARD INVESTMENTS ⋮ How Rough Path Lifts Affect Expected Return and Volatility: A Rough Model under Transaction Cost ⋮ Volatility measurement with pockets of extreme return persistence ⋮ Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs ⋮ A càdlàg rough path foundation for robust finance ⋮ Remarks on simple arbitrage on markets with bid and ask prices ⋮ Absence of arbitrage in a general framework ⋮ Utility maximization problem with transaction costs: optimal dual processes and stability ⋮ No arbitrage and lead-lag relationships ⋮ Market Models with Optimal Arbitrage ⋮ Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios

Cites Work

• Unnamed Item
• Unnamed Item
• No arbitrage conditions for simple trading strategies
• The fundamental theorem of asset pricing for continuous processes under small transaction costs
• Martingale methods in financial modelling.
• No arbitrage without semimartingales
• A general version of the fundamental theorem of asset pricing
• Arbitrage in fractional Brownian motion models
• Mixed fractional Brownian motion
• The existence of absolutely continuous local martingale measures
• Pricing by hedging and no-arbitrage beyond semimartingales
• Consistent price systems and face-lifting pricing under transaction costs
• Long memory in continuous-time stochastic volatility models
• ARBITRAGE AND FREE LUNCH WITH BOUNDED RISK FOR UNBOUNDED CONTINUOUS PROCESSES
• Stochastic Integrals and Conditional Full Support
• Fractional Processes as Models in Stochastic Finance
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND
• Gaussian model selection

This page was built for publication: Simple arbitrage