Consistency among trading desks
نویسندگان
چکیده
We consider a bank having several trading desks, each of which trades a different class of contingent claims with each desk using a different model. We assume that the models are arbitrage-free. A practical question is whether a bank using several models can be arbitraged. Surprisingly it can happen that in some cases there must be an arbitrage. We discuss conditions under which the bank trades without offering arbitrage.
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عنوان ژورنال:
- Finance and Stochastics
دوره 10 شماره
صفحات -
تاریخ انتشار 2006