Statistical arbitrage in the Black-Scholes framework

In this study, we prove the existence of statistical arbitrage opportunities in the Black-Scholes framework by considering trading strategies that consist of borrowing at the risk-free rate and taking a long position in the stock until it hits a deterministic barrier level. We derive analytical form...

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Veröffentlicht in:	Quantitative finance 2015-09, Vol.15 (9), p.1489-1499
1. Verfasser:	Göncü, Ahmet
Format:	Artikel
Sprache:	eng
Schlagworte:	Arbitrage Black-Scholes model Expected values Geometric Brownian motion Investment policy Monte Carlo simulation Securities trading Statistical arbitrage Stochastic models Studies
Online-Zugang:	Volltext
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