How to account for virtual arbitrage in the standard derivative pricing

Kirill Ilinski ()

Finance from University Library of Munich, Germany

Abstract: In this short note we show how virtual arbitrage opportunities can be modelled and included in the standard derivative pricing without changing the general framework.

Keywords: asset pricing; virtual arbitrage (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
Pages: 7 pages
Date: 1999-02-03
Note: Type of Document - Postscript; prepared on UNIX Sparc TeX; to print on HP; pages: 7
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Citations: View citations in EconPapers (6)

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Related works:
Working Paper: How to account for virtual arbitrage in the standard derivative pricing (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:9902002

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