IMPLIED-IN-PRICES EXPECTATIONS: THEIR ROLE IN ARBITRAGE

IMPLIED-IN-PRICES EXPECTATIONS: THEIR ROLE IN ARBITRAGE

Real prices are created on markets by supply and demand and they do not have to follow some distributions or have some properties, which we often assume. However, prices have to follow some rules in order to make arbitrage impossible. Existence of arbitrage opportunities means existence of inefficie...

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Bibliographic Details
Main Author: Sergei A. Ivanov
Format: Article
Language:English
Published: Accademia Peloritana dei Pericolanti 2014-02-01
Series:Atti della Accademia Peloritana dei Pericolanti : Classe di Scienze Fisiche, Matematiche e Naturali
Subjects:
market efficiency
risk-neutral measure
interest rate
arbitrage
efficiency conditions
Online Access:http://dx.doi.org/10.1478/AAPP.92S1B1

Internet

http://dx.doi.org/10.1478/AAPP.92S1B1

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