The Timing of Arbitrage: An Option Approach
AbstractThe Paper presents a continuous-time model for the timing of riskless arbitrage when the mispricing between two equivalent portfolios varies stochastically through time under the exogenous impact of liquidity trades and persistent prospect that the arbitrage bubble can 'burst' .
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Bibliographic InfoPaper provided by Faculty of Economics, University of Cambridge in its series Cambridge Working Papers in Economics with number 9606.
Length: 37 pages
Date of creation: 1996
Date of revision:
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Web page: http://www.econ.cam.ac.uk/index.htm
RISK; STOCK MARKET;
Find related papers by JEL classification:
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- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
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