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~person:"Salopek, D. M."
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Arbitrage Fractional Brownian motion -variation
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Mathematische Methode
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Put-Option
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Salopek, D. M.
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Pitman monographs and surveys in pure and applied mathematics
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Statistics & Probability Letters
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Stochastic Processes and their Applications
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A new class of nearly self-financing strategies
Salopek, D. M.
- In:
Statistics & Probability Letters
56
(
2002
)
1
,
pp. 69-75
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.
Persistent link: https://www.econbiz.de/10005313860
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Tolerance to arbitrage
Salopek, D. M.
- In:
Stochastic Processes and their Applications
76
(
1998
)
2
,
pp. 217-230
An arbitrage opportunity is constructed in a frictionless stock market when price processes have continuous sample paths of bounded -variation with .
Persistent link: https://www.econbiz.de/10008875079
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3
American put options
Salopek, D. M.
-
1997
Persistent link: https://www.econbiz.de/10004379800
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