The notion of statistical arbitrage introduced in Bondarenko (2003) is generalized to -arbitrage corresponding trading strategies which yield positive gains on average a class scenarios described by -algebra . This contains classical as special case. Admitting general static payoffs strategies, done Kassberger and Liebmann (2017) the case one pricing measure, leads -arbitrage. We show that even...

We consider a financial market driven by a continuous time homogeneous Markov chain. Conditions for absence of arbitrage and for completeness are spelled out, non-arbitrage pricing of derivatives is discussed, and details are worked out for some cases. Closed form expressions are obtained for interest rate derivatives. Computations typically amount to solving a set of first order partial differ...

In a Markovian model for a financial market, we characterize the best arbitrage with respect to the market portfolio that can be achieved using non-anticipative investment strategies, in terms of the smallest positive solution to a parabolic partial differential inequality; this is determined entirely on the basis of the covariance structure of the model. The solution is also used to generate t...

in this paper, installment options on the underlying assetwhich evolves according to black-scholes model and pays constant dividendto its owner will be considered. applying arbitrage pricing theory,the non-homogeneous parabolic partial differential equation governingthe value of installment option is derived. then, penalty method is usedto value the european continuous installment call option.