The fairest price of an asset in an environment of temporary arbitrage
Abstract
Description
In practice there are temporary arbitrage opportunities arising from the fact that prices for a given asset at different stock exchanges are not instantaneously the same. We will show that even in such an environment there exists a ``fairest measure'' (instead of a martingale measure), albeit not necessarily unique. For this end, we define and analyse quantitative notions of unfairness in complete as well as incomplete market settings.
minor changes to introduction and abstract
minor changes to introduction and abstract