Osterrieder, Jörg Robert; Reinländer, Thorsten (2006). Arbitrage opportunities in diverse markets via a non-equivalent measure change Annals of Finance, 2(3), pp. 287-301. Springer 10.1007/s10436-006-0037-z
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We study arbitrage opportunities in diverse markets as introduced by Fernholz (J Math Econ 31:393–417, 1999). By a change of measure technique we are able to generate a variety of diverse markets. The construction is based on an absolutely continuous but non-equivalent measure change which implies the existence of instantaneous arbitrage opportunities in diverse markets. For this technique to work, we single out a crucial non-degeneracy condition. Moreover, we discuss the dynamics of the price process under the new measure as well as further applications.
Item Type: |
Journal Article (Original Article) |
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Division/Institute: |
Business School > Institute for Applied Data Science & Finance > Finance, Accounting and Tax |
Name: |
Osterrieder, Jörg Robert 0000-0003-0189-8636 and Reinländer, Thorsten |
ISSN: |
1614-2446 |
Publisher: |
Springer |
Language: |
English |
Submitter: |
Jörg Robert Osterrieder |
Date Deposited: |
24 Aug 2022 08:50 |
Last Modified: |
28 Aug 2022 01:37 |
Publisher DOI: |
10.1007/s10436-006-0037-z |
ARBOR DOI: |
10.24451/arbor.17397 |
URI: |
https://arbor.bfh.ch/id/eprint/17397 |
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