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Looking for Arbitrage

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  • Flam, S.D.

Abstract

We 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.

Suggested Citation

  • Flam, S.D., 2000. "Looking for Arbitrage," Norway; Department of Economics, University of Bergen 207, Department of Economics, University of Bergen.
    • Handle: RePEc:fth:bereco:207
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    References listed on IDEAS

    as
    1. 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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    More about this item

    Keywords

    MATHEMATICAL ANALYSIS ; FINANCIAL MARKET;

    JEL classification:

    • 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

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