Arbitrage opportunities for a class of Gladyshev processes

Authors
Dasgupta, A Kallianpur, G
Citation
A. Dasgupta et G. Kallianpur, Arbitrage opportunities for a class of Gladyshev processes, APPL MATH O, 41(3), 2000, pp. 377-385
Citations number
10
Categorie Soggetti
Mathematics
Journal title
APPLIED MATHEMATICS AND OPTIMIZATION
ISSN journal
00954616 → ACNP
Volume
41
Issue
3
Year of publication
2000
Pages
377 - 385
Database
ISI
SICI code
0095-4616(200005/06)41:3<377:AOFACO>2.0.ZU;2-4
Abstract
Geometric versions of a class of Gaussian processes are investigated as pos sible models for stock prices. Arbitrage opportunities are constructed for these processes showing that option pricing is not possible with these mode ls.