Decisions in economics and finance, 2009-05, Vol.32 (1), p.5-12
2009
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Details
- Autor(en) / Beteiligte
- Titel
- Arbitrage in stationary markets
- Ist Teil von
- Decisions in economics and finance, 2009-05, Vol.32 (1), p.5-12
- Ort / Verlag
- Milan: Springer Milan
- Erscheinungsjahr
- 2009
- Quelle
- Alma/SFX Local Collection
- Beschreibungen/Notizen
- We analyse questions of arbitrage in financial markets in which asset prices change in time as stationary stochastic processes. The main focus of the paper is on a model where the price vectors are independent and identically distributed. In the framework of this model, we find conditions that are necessary and sufficient for the absence of arbitrage opportunities. We discuss the relations between the results obtained and the phenomenon of “volatility-induced growth” in stationary markets.
- Sprache
- Englisch
- Identifikatoren
- ISSN: 1593-8883eISSN: 1129-6569DOI: 10.1007/s10203-008-0083-2Titel-ID: cdi_proquest_journals_231168535
- Format
- –
- Schlagworte
- Algebra, Arbitrage, Econometrics, Economic models, Economic theory, Economic Theory/Quantitative Economics/Mathematical Methods, Economics, Economics and Finance, Finance, G10, G11, G14, Hypotheses, Management, Operations Research/Decision Theory, Prices, Public Finance, Random variables, Securities markets, Stationary markets, Stochastic models, Studies, Volatility, Volatility-induced growth