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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