A new class of nearly self-financing strategies
For a large class of models, we prove that the stop-loss start-gain trading strategy is as close to producing arbitrage as we please.
Volume (Year): 56 (2002)
Issue (Month): 1 (January)
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- Carr, Peter P & Jarrow, Robert A, 1990.
"The Stop-Loss Start-Gain Paradox and Option Valuation: A New Decomposition into Intrinsic and Time Value,"
Review of Financial Studies,
Society for Financial Studies, vol. 3(3), pages 469-92.
- Peter P. Carr & Robert A. Jarrow, 2008. "The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 4, pages 61-84 World Scientific Publishing Co. Pte. Ltd..
- Salopek, D. M., 1998. "Tolerance to arbitrage," Stochastic Processes and their Applications, Elsevier, vol. 76(2), pages 217-230, August.
- Harrison, J Michael & Pitbladdo, Richard & Schaefer, Stephen M, 1984. "Continuous Price Processes in Frictionless Markets Have Infinite Variation," The Journal of Business, University of Chicago Press, vol. 57(3), pages 353-65, July.
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