Looking for arbitrage
AbstractWe consider financial contracts that are tradable in any quantities at fixed prices. A bundle of such contracts constitutes an arbitrage if it offers non-negative payoff in any future state, but commands negative present cost. This article brings together fairly recent results on how to find an arbitrage provided some exists.
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Bibliographic InfoArticle provided by Elsevier in its journal International Review of Economics & Finance.
Volume (Year): 9 (2000)
Issue (Month): 1 (February)
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Web page: http://www.elsevier.com/locate/inca/620165
Other versions of this item:
- Flam, S.D., 1998. "Looking for Arbitrage," Norway; Department of Economics, University of Bergen 0598, Department of Economics, University of Bergen.
- Flam, S.D., 2000. "Looking for Arbitrage," Norway; Department of Economics, University of Bergen 207, Department of Economics, University of Bergen.
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
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