Альтернативный подход к определению условий отсутствия арбитража

Ivanov, Sergei (2014): Альтернативный подход к определению условий отсутствия арбитража.

Abstract

New approach to determining no arbitrage conditions is presented in this paper. Siegel's Paradox was extended to create model. Special attention was made to alternative numeraire change technique that was obtained using presented approach. Results allow making an assumption that there is significant difference between wide-spread models and real markets, and arbitrage is possible far more often then is considered to be. These opportunities are hidden by market underdevelopment. However they may lead to serious changes on markets in the future.

• Item Type: MPRA Paper
• English Title: Alternative approach of defining no arbitrage conditions
• Language: Russian
• Keywords: arbitrage, Siegel's Paradox, risk-neutral measure, options, implied probability density, numeraire change.
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C10 - General; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy; G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates

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