A new class of nearly self-financing strategies

D. M. Salopek

Statistics & Probability Letters, 2002, vol. 56, issue 1, 69-75

Abstract: 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.

Keywords: Arbitrage; [var; epsilon]-Self-financing; p-Variation; Self-financing; Stop-loss; start-gain; strategy (search for similar items in EconPapers)
Date: 2002
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