derivatives. We use a non-equilibrium model to set up a stochastic portfolio, and for the random arbitrage return, we choose a …The purpose of this work is to explore the role that random arbitrage opportunities play in pricing financial … stationary ergodic random process rapidly varying in time. We exploit the fact that option price and random arbitrage returns …

proposal by Ilinski aimed at gauge modeling in non-equilibrium pricing is implemented in a numerical simulation. We arrive at a …

, two versions of the model are obtained with different leverage behaviors. Here, the no-arbitrage and completeness …

variation in CIP deviations from equilibrium; second, these deviations have diminished significantly and by 2000 have been …

A consistency criterion for price impact functions in limit order markets is proposed that prohibits chain arbitrage …

the media. We show that since this game is not organized around the socially optimal point, arbitrage opportunities may …

Only few efforts have been made in order to relax one of the key assumptions of the Black–Scholes model: the no-arbitrage … assumption. This is despite the fact that arbitrage processes usually exist in the real world, even though they tend to be short …-lived. The purpose of this paper is to develop an option pricing model with endogenous stochastic arbitrage, capable of modelling …

Schrödinger equation of a free particle. When deviations of this state of equilibrium are considered, as a product of some market … correlations; the classical non-arbitrage assumption of the Black–Scholes model is violated, implying a non-risk-free portfolio …. From Haven (2002) [1] we know that an arbitrage environment is a necessary condition to embedding the Black–Scholes option …

rise to paradoxical and inconsistent outcomes in the simplest case of arbitrage exploitation when open–hold–close actions …

Arbitrage as an inevitable component of financial markets is due to the robust interplay between the continuous and the … discontinuous stochastic variables appearing in the underlying dynamics. We present empirical evidence of such an arbitrage through … arbitrage pricing in the financial markets. Daily update of asset allocation was conducted as referring to the predictive …