arbitrage

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Words related to arbitrage

a kind of hedged investment meant to capture slight differences in price

practice arbitrage, as in the stock market

References in periodicals archive ?
In a complete market, Harrison and Pliska (1981) show that the arbitrage-free price of contingent claims is given using the risk-neutral probability measure.
We also show that it is consistent with arbitrage-free pricing.
Julius Finance is a leading provider of credit analytics, and the first vendor to build an arbitrage-free dynamic model for CDX and iTraxx tranches.
One can show this directly (24) or as a consequence of the theorem, because only prices consistent with risk-neutral valuation are arbitrage-free.
Piazzesi develops an arbitrage-free time-series model of yields that incorporates central bank policy.
Each spanning portfolio provides one estimate of the arbitrage-free return series for the target division.
This implies in turn that the arbitrage-free price of contingent claims is not unique.
Arbitrage-Free Valuation of Energy Derivatives Kaushik Amin, Lehman Brothers, Victor Ng, Goldman Sachs and Craig Pirrong, Bauer College of Business at the University of Houston 16.