How to account for virtual arbitrage in the standard derivative pricing

Details How to account for virtual arbitrage in the standard derivative pricing How to account for virtual arbitrage in the standard derivative pricing

1999-02-03

arxiv.org/abs/cond-mat/9902047v1

Physics

Condensed Matter

Statistical Mechanics

Latex, 6 pages, Proschal'nii poklon

Scientific paper

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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