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Альтернативный Подход К Определению Условий Отсутствия Арбитража
[Alternetive way of determining no arbitrage conditions]

Author

Listed:
  • Ivanov, Sergei

Abstract

New approach to determining no arbitrage conditions is presented in this paper. Determined by supply and demand prices are used instead of assumptions about price processes. Special attention was made to alternative numeraire change technique that was obtained using presented approach. Results allow making an assumption that there are significant difference between wide-spread models and real markets, and arbitrage is possible far more often then is considered to be earlier. These opportunities are hidden by market underdevelopment. However they may lead to serious changes on markets in the future.

Suggested Citation

  • Ivanov, Sergei, 2014. "Альтернативный Подход К Определению Условий Отсутствия Арбитража [Alternetive way of determining no arbitrage conditions]," MPRA Paper 58572, University Library of Munich, Germany, revised 15 Sep 2014.
    • Handle: RePEc:pra:mprapa:58572
    as

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    References listed on IDEAS

    as
    1. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    2. Ioulia D. Ioffe & Eliezer Z. Prisman, 2013. "Arbitrage violations and implied valuations: the option market," The European Journal of Finance, Taylor & Francis Journals, vol. 19(4), pages 298-317, April.
    3. Shleifer, Andrei & Vishny, Robert W, 1997. "The Limits of Arbitrage," Journal of Finance, American Finance Association, vol. 52(1), pages 35-55, March.
    4. Jackwerth, Jens Carsten, 1999. "Option Implied Risk-Neutral Distributions and Implied Binomial Trees: A Literature Review," MPRA Paper 11634, University Library of Munich, Germany.
    5. 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 637-654, May-June.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    arbitrage; risk-neutral measure; options; implied probability density; numeraire change.;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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