The Timing of Arbitrage: An Option Approach.

The Paper presents a continuous-time model for the timing of riskless arbitrage when the mispricing between two equivalent portfolios varies stochastically through time under the exogenous impact of liquidity trades and persistent prospect that the arbitrage bubble can 'burst' .

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Year of publication:	1996
Authors:	Lambrecht, B.
Institutions:	Faculty of Economics, University of Cambridge
Subject:	RISK \| STOCK MARKET

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Series:	Cambridge Working Papers in Economics.
Type of publication:	Book / Working Paper
Notes:	37 pages
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; D82 - Asymmetric and Private Information
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005489306