Osterrieder, Jörg; Rheinländer, Thorsten - Institut für Schweizerisches Bankwesen <Zürich> - 2004
We study arbitrage opportunities in diverse markets as introduced by R. Fernholz in [2]. By a change of measure technique we are able to generate a variety of diverse markets. The construction is based on an absolutely continuous but non-equivalent measure change which implies the existence of...