Pii: S1059-0560(99)00051-9
نویسنده
چکیده
We consider financial contracts that are tradable in any quantities at fixed prices. A bundle of such contracts constitutes an arbitrage if it offers non-negative payoff in any future state, but commands negative present cost. This article brings together fairly recent results on how to find an arbitrage provided some exists. Otherwise, a state-contingent, non-profit price vector will be identified. As vehicle we use a simply-constrained least squares problem, minimizing the distance to arbitrage-free pricing. 2000 Elsevier Science Inc. All rights reserved. JEL classification: C63; G11
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