How to account for virtual arbitrage in the standard derivative pricing
AbstractIn this short note we show how virtual arbitrage opportunities can be modelled and included in the standard derivative pricing without changing the general framework.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number cond-mat/9902047.
Date of creation: Feb 1999
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- Kirill Ilinski, 1999. "How to account for virtual arbitrage in the standard derivative pricing," Finance, EconWPA 9902002, EconWPA.
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- Kirill Ilinski & Alexander Stepanenko, 1999. "Derivative pricing with virtual arbitrage," Papers cond-mat/9902046, arXiv.org.
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