Looking for Arbitrage
We consider financial contracts that are tradeble in any quantities at fixed prices. A bundle of such contracts constitutes an arbitrage if it offers non-negative payiff in any future state, but commands negative present cost. This note brings together fairly recent results on how to find an arbitrage provided some exists.
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|Date of creation:||1998|
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- 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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