The No Arbitrage Conditions in the Segmented Markets

• Autorzy: Medvedev G.
• Konferencja: X Polish-Czech Mathematical School (10 ; 04-07.06.2003 ; Poraj near Częstochowa, Poland)
• Języki publikacji: EN

Abstrakty

EN

The present paper is the direct continuation of papers Medvedev (2001, 2002). In the financial market the term arbitrage refers to the possibility of making a trading gain with no chance of loss. The idea expressed by the no arbitrage condition consists that in the equilibrium market two portfolios of securities, which ensure identical payments, should have in each instant the identical price. Intuitively it is clear that such a definition of the price excludes the arbitrage. The arbitrage theory of market asset pricing is recently popular. It bases on the assumption that the financial market is arbitrage-free. To check the fulfillment of such assumption it is necessary to have some "no arbitrage" conditions. This explains the interest to derive such conditions.

Słowa kluczowe

EN

financial market; arbitrage theory of market asset pricing; arbitrage

PL

rynek finansowy; arbitrażowa teoria wyceny aktywów rynkowych; arbitraż

• Wydawca: Wydawnictwo Uniwersytetu Humanistyczno-Przyrodniczego im. Jana Długosza w Częstochowie
• Czasopismo: Scientific Issues of Jan Długosz University in Częstochowa. Mathematics
• Rocznik: 2003
• Tom: Vol. 9
• Strony: 69--73
• Opis fizyczny: Bibliogr. 3 poz.

Twórcy

autor

Medvedev G.

• Institute of Mathematics and Computer Science, Pedagogical University of Częstochowa, Al. Armii Krajowej 13/15, 42-200 Częstochowa, Poland

Bibliografia

• [1] J. C. Hull, Options, Futures, and other Derivative Securities. Englewoods Cliffs: Prentice Hall, 1993.
• [2] G. A. Medvedev, No arbitrage conditions for markets with arbitrary number of securities, Acta Universitatis Purkynianae. Studia mathematica. Usti n/L, V. 72, pp. 26-31, 2001.
• [3] G. A, Medvedev, No arbitrage condition for the financial market with inflation. 9-th Czech-Polish Mathematical School. Krakow, 2002.