Volatility smile and stochastic arbitrage returns

Preprint English OPEN
Fedotov, Sergei; Panayides, Stephanos;
(2004)
  • Subject: Condensed Matter - Other Condensed Matter | Quantitative Finance - Statistical Finance
    arxiv: Computer Science::Computational Engineering, Finance, and Science | Computer Science::Computer Science and Game Theory

The purpose of this work is to explore the role that random arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a stationary ergodic random process... View more
  • References (26)
    26 references, page 1 of 3

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