How to account for virtual arbitrage in the standard derivative pricing

1999/02/03 by Kirill Ilinski, Ilinski, Kirill
Economics, Econometrics and Finance · Physics and Astronomy · #Banking stability, regulation, efficiency #Financial Markets and Investment Strategies #Stochastic processes and financial applications #cond-mat.stat-mech #q-fin.PR

paper · pdf · doi:10.48550/arxiv.cond-mat/9902047

Latex, 6 pages, Proschal'nii poklon

arxiv created 1999/02/03 · arxiv updated 2009/11/30

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.

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