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Complete Markets with Large Trader Induced Arbitrage

Feb 22, 2001

Krannert G13

Philip Protter, Purdue University, visiting Cornell Univeristy

Abstract: We show how clear arbitrage opportunities arising from large trader activity can be modeled mathematically within the usual Black-Scholes framework. Local times play a key role.
Purdue Memorial Union © 2001 Purdue University
Last Update: July 10, 2001
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