The fairest price of an asset in an environment of temporary arbitrage

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dc.creatorHerzberg, Frederik
dc.date2004-10-26
dc.date2004-11-02
dc.date.accessioned2026-07-07T05:13:42Z
dc.date.available2026-07-07T05:13:42Z
dc.descriptionIn 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.
dc.descriptionminor changes to introduction and abstract
dc.identifierhttps://arxiv.org/abs/math/0410544
dc.identifierhttp://arxiv.org/abs/math/0410544
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/73007
dc.subjectProbability
dc.subjectOptimization and Control
dc.titleThe fairest price of an asset in an environment of temporary arbitrage
dc.typetext

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