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How to account for virtual arbitrage in the standard derivative pricing

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Author Info
Kirill Ilinski (University of Birmingham, UK)

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Abstract

In 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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Publisher Info
Paper provided by EconWPA in its series Finance with number 9902002.

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Length: 7 pages
Date of creation: 03 Feb 1999
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Handle: RePEc:wpa:wuwpfi:9902002

Note: Type of Document - Postscript; prepared on UNIX Sparc TeX; to print on HP; pages: 7
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Web page: http://129.3.20.41

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Related research
Keywords: asset pricing; virtual arbitrage;

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Find related papers by JEL classification:
G - Financial Economics

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References listed on IDEAS
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.:
  1. 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. [Downloadable!] (restricted)
  2. Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
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  3. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring. [Downloadable!] (restricted)
  4. 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. [Downloadable!] (restricted)
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