A new class of nearly self-financing strategies
For a large class of models, we prove that the stop-loss start-gain trading strategy is as close to producing arbitrage as we please.
Year of publication: |
2002
|
---|---|
Authors: | Salopek, D. M. |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 56.2002, 1, p. 69-75
|
Publisher: |
Elsevier |
Keywords: | Arbitrage [var epsilon]-Self-financing p-Variation Self-financing Stop-loss start-gain strategy |
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