A Systematic Approach to Constructing Market Models With Arbitrage

Johannes Ruf and Wolfgang Runggaldier

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Abstract: This short note provides a systematic construction of market models without unbounded profits but with arbitrage opportunities.

Date: 2013-09, Revised 2013-12
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Citations: View citations in EconPapers (5)

Published in forthcoming in "Arbitrage, Credit and Informational Risks", Proceedings of the Sino-French Research Program in Financial Mathematics Conference, Beijing June 2013

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