Mean-reverting market model: speculative opportunities and non-arbitrage

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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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Bibliographic Details
Main Author:	Dokuchaev, Nikolai
Format:	Journal Article
Published:	Chapman & Hall (Taylor & Francis) 2011
Subjects:	mean-reverting model technical analysis universal portfolio self-financing strategies arbitrage diffusion market
Online Access:	http://hdl.handle.net/20.500.11937/28616

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