Альтернативный подход к определению условий отсутствия арбитража

Alternetive way of determining no arbitrage conditions

Sergei Ivanov

MPRA Paper from University Library of Munich, Germany

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.

Keywords: arbitrage; risk-neutral measure; options; implied probability density; numeraire change. (search for similar items in EconPapers)
JEL-codes: C10 E44 G12 (search for similar items in EconPapers)
Date: 2014-09-14, Revised 2014-09-15
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https://mpra.ub.uni-muenchen.de/58572/1/MPRA_paper_58572.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/58745/1/MPRA_paper_58745.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/58863/1/MPRA_paper_58745.pdf revised version (application/pdf)

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