On long-term arbitrage opportunities in Markovian models of financial markets

被引：0
|
作者：
Martin L. D. Mbele Bidima
Miklos Rasonyi
机构：
[1] Central European University,Department of Mathematics and its Applications
[2] University of Edinburgh,School of Mathematics
来源：
Annals of Operations Research | 2012年 / 200卷
关键词：
Asymptotic arbitrage; Large deviations; Markov chains; Loss probability;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
A discrete-time infinite horizon stock market model is considered where the logarithm of the price is assumed to be a Markov chain arising from the time-discretization of a stochastic differential equation.
引用
收藏
页码：131 / 146
页数：15
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