Mean-reverting market model: speculative opportunities and non-arbitrage
The paper studies arbitrage opportunities and possible speculative opportunities for diffusion mean-reverting market models. It is shown that the Novikov condition is satisfied for any time interval and for any set of parameters. It is non-trivial because the appreciation rate has Gaussian distribut...
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| Format: | Journal Article |
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Chapman & Hall (Taylor & Francis)
2011
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| Online Access: | http://hdl.handle.net/20.500.11937/28616 |