تقرير
No-Arbitrage Symmetries
| العنوان: | No-Arbitrage Symmetries |
|---|---|
| المؤلفون: | Degano, I. L., Ferrando, S. E., Gonzalez, A. L. |
| سنة النشر: | 2020 |
| المجموعة: | Quantitative Finance |
| مصطلحات موضوعية: | Quantitative Finance - Mathematical Finance |
| الوصف: | The no-arbitrage property is widely accepted to be a centerpiece of modern financial mathematics and could be considered to be a financial law applicable to a large class of (idealized) markets. The paper addresses the following basic question: can one characterize the class of transformations that leave the law of no-arbitrage invariant? We provide a geometric formalization of this question in a non probabilistic setting of discrete time, the so-called trajectorial models. The paper then characterizes, in a local sense, the no-arbitrage symmetries and illustrates their meaning in a detailed example. Our context makes the result available to the stochastic setting as a special case Comment: 35 pages |
| نوع الوثيقة: | Working Paper |
| URL الوصول: | http://arxiv.org/abs/2008.06184 |
| رقم الأكسشن: | edsarx.2008.06184 |
| قاعدة البيانات: | arXiv |
| الوصف غير متاح. |