Mean-reverting discrete time market models: Speculative opportunities and absence of arbitrage
In this article we study discrete time mean-reverting market models. We show that certain choices of initial conditions ensure existence of an equivalent martingale measure and absence of arbitrage for any finite time horizon. Further, it is shown that this model still allows some speculative opport...
| Main Author: | |
|---|---|
| Format: | Journal Article |
| Published: |
Oxford University Press
2012
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/33486 |
| _version_ | 1848753959798308864 |
|---|---|
| author | Dokuchaev, Nikolai |
| author_facet | Dokuchaev, Nikolai |
| author_sort | Dokuchaev, Nikolai |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | In this article we study discrete time mean-reverting market models. We show that certain choices of initial conditions ensure existence of an equivalent martingale measure and absence of arbitrage for any finite time horizon. Further, it is shown that this model still allows some speculative opportunities. These opportunities cannot be expressed in the terms of arbitrage or asymptotic arbitrage. In particular, a gain can be achieved for a wide enough set of expected utilities for a strategy that does not require any hypothesis on market parameters and does not use estimation of these parameters. |
| first_indexed | 2025-11-14T08:32:48Z |
| format | Journal Article |
| id | curtin-20.500.11937-33486 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:32:48Z |
| publishDate | 2012 |
| publisher | Oxford University Press |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-334862017-09-13T16:08:23Z Mean-reverting discrete time market models: Speculative opportunities and absence of arbitrage Dokuchaev, Nikolai discrete time market mean-reverting model arbitrage utility maximization In this article we study discrete time mean-reverting market models. We show that certain choices of initial conditions ensure existence of an equivalent martingale measure and absence of arbitrage for any finite time horizon. Further, it is shown that this model still allows some speculative opportunities. These opportunities cannot be expressed in the terms of arbitrage or asymptotic arbitrage. In particular, a gain can be achieved for a wide enough set of expected utilities for a strategy that does not require any hypothesis on market parameters and does not use estimation of these parameters. 2012 Journal Article http://hdl.handle.net/20.500.11937/33486 10.1093/imaman/dpq015 Oxford University Press restricted |
| spellingShingle | discrete time market mean-reverting model arbitrage utility maximization Dokuchaev, Nikolai Mean-reverting discrete time market models: Speculative opportunities and absence of arbitrage |
| title | Mean-reverting discrete time market models: Speculative opportunities and absence of arbitrage |
| title_full | Mean-reverting discrete time market models: Speculative opportunities and absence of arbitrage |
| title_fullStr | Mean-reverting discrete time market models: Speculative opportunities and absence of arbitrage |
| title_full_unstemmed | Mean-reverting discrete time market models: Speculative opportunities and absence of arbitrage |
| title_short | Mean-reverting discrete time market models: Speculative opportunities and absence of arbitrage |
| title_sort | mean-reverting discrete time market models: speculative opportunities and absence of arbitrage |
| topic | discrete time market mean-reverting model arbitrage utility maximization |
| url | http://hdl.handle.net/20.500.11937/33486 |