Statistical arbitrage in jump-diffusion models with compound Poisson processes
نویسندگان
چکیده
We prove the existence of statistical arbitrage opportunities for jump-diffusion models stock prices when jump-size distribution is assumed to have finite moments. show that obtain arbitrage, risky asset holding must go zero in time. Existence demonstrated via ‘buy-and-hold until barrier’ and ‘short strategies with both single double barrier. In order exploit opportunities, investor needs a good approximation physical probability measure drift stochastic process given asset.
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ژورنال
عنوان ژورنال: Annals of Operations Research
سال: 2021
ISSN: ['1572-9338', '0254-5330']
DOI: https://doi.org/10.1007/s10479-021-03965-w