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 EconWPA in its series Finance with number 9902002.
Length: 7 pages
Date of creation: 03 Feb 1999
Date of revision:
Note: Type of Document - Postscript; prepared on UNIX Sparc TeX; to print on HP; pages: 7
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asset pricing; virtual arbitrage;
Other versions of this item:
- Kirill Ilinski, 1999. "How to account for virtual arbitrage in the standard derivative pricing," Papers cond-mat/9902047, arXiv.org.
- G - Financial Economics
This paper has been announced in the following NEP Reports:
- NEP-ALL-1999-02-15 (All new papers)
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.:
- Merton, Robert C., 1975.
"Option pricing when underlying stock returns are discontinuous,"
787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
- Hull, John C & White, Alan D, 1987. " The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
- Kirill Ilinski & Alexander Stepanenko, 1999. "Derivative pricing with virtual arbitrage," Papers cond-mat/9902046, arXiv.org.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
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