How to account for virtual arbitrage in the standard derivative pricing
Statistical Mechanics
2008-12-02 v1 Pricing of Securities
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.
Cite
@article{arxiv.cond-mat/9902047,
title = {How to account for virtual arbitrage in the standard derivative pricing},
author = {Kirill Ilinski},
journal= {arXiv preprint arXiv:cond-mat/9902047},
year = {2008}
}
Comments
Latex, 6 pages, Proschal'nii poklon