Arbitrage in stationary markets

Igor Evstigneev; Dhruv Kapoor

We analyse questions of arbitrage in fnancial markets in which asset prices change in time as stationary stochastic processes. The main focus of the paper is on a model where the price vectors are independent and identically distributed. In the framework of this model, we find conditions that are necessary and sufficient for the absence of arbitrage opportunities. We discuss the relations between the results obtained and the phenomenon of volatility-induced growth in stationary markets

MoreLess

Year of publication:	2007
Other Persons:	Evstigneev, Igor V. (contributor) ; Kapoor, Dhruv (contributor)
Publisher:	Genève : Swiss Finance Inst.
Subject:	Arbitrage Pricing \| Arbitrage pricing \| Theorie \| Theory

freely available

Full text |

More access options

papers.ssrn.com

doi.org

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

I need help

Extent:	Online-Ressource, 9 S., Text
Series:	Research paper series / Swiss Finance Institute. - Geneva, ZDB-ID 2392286-2. - Vol. 07-32 Swiss Finance Institute Research Paper ; No. 07-32
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	10.2139/ssrn.1020219 [DOI]
Classification:	G10 - General Financial Markets. General ; G11 - Portfolio Choice ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10003550863