Tolerance to arbitrage

D. M. Salopek

Stochastic Processes and their Applications, 1998, vol. 76, issue 2, 217-230

Abstract: An arbitrage opportunity is constructed in a frictionless stock market when price processes have continuous sample paths of bounded -variation with .

Keywords: Arbitrage; Fractional; Brownian; motion; -variation (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (24)

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