Stochastic measures of arbitrage
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References listed on IDEAS
- Pham, Huyen & Touzi, Nizar, 1999. "The fundamental theorem of asset pricing with cone constraints," Journal of Mathematical Economics, Elsevier, vol. 31(2), pages 265-279, March.
- Chen, Zhiwu & Knez, Peter J, 1995. "Measurement of Market Integration and Arbitrage," Review of Financial Studies, Society for Financial Studies, vol. 8(2), pages 287-325.
- Kamara, Avraham & Miller, Thomas W., 1995. "Daily and Intradaily Tests of European Put-Call Parity," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(04), pages 519-539, December.
- Protopapadakis, Aris & Stoll, Hans R, 1983.
" Spot and Futures Prices and the Law of One Price,"
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- Aris Protopapadakis & Hans R. Stoll, "undated". "Spot and Futures Prices and the Law of One Price," Rodney L. White Center for Financial Research Working Papers 17-82, Wharton School Rodney L. White Center for Financial Research.
- Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
More about this item
KeywordsArbitrage; risk-neutral probability measure; market integration; vector optimization; dual problem; duality gap; 90A09; 90B50; 90C29;
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