Tolerance to arbitrage
An arbitrage opportunity is constructed in a frictionless stock market when price processes have continuous sample paths of bounded -variation with .
Year of publication: |
1998
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Authors: | Salopek, D. M. |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 76.1998, 2, p. 217-230
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Publisher: |
Elsevier |
Subject: | Arbitrage Fractional Brownian motion -variation |
Saved in:
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