Arbitrage in stationary markets

被引：0
|
作者：
Evstigneev I. [1 ]
Kapoor D. [1 ]
机构：
[1] Economics Department, University of Manchester, Manchester M13 9PL, Oxford Road
来源：
Decisions in Economics and Finance | 2009年 / 32卷 / 1期
关键词：
Arbitrage; Stationary markets; Volatility-induced growth;
D O I：
10.1007/s10203-008-0083-2
中图分类号：
学科分类号：
摘要：
We analyse questions of arbitrage in financial markets in which asset prices change in time as stationary stochastic processes. The main focus of the paper is on a model where the price vectors are independent and identically distributed. In the framework of this model, we find conditions that are necessary and sufficient for the absence of arbitrage opportunities. We discuss the relations between the results obtained and the phenomenon of "volatility-induced growth" in stationary markets. © Springer-Verlag 2008.
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页码：5 / 12
页数：7
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