A note on asymptotic exponential arbitrage with exponentially decaying failure probability
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Author / Producer
Date
2013
Publication Type
Journal Article
ETH Bibliography
yes
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Publication status
published
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Journal / series
Volume
50 (3)
Pages / Article No.
801 - 809
Publisher
Applied Probability Trust
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Edition / version
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Date created
Subject
Asymptotic exponential arbitrage; Continuous semimartingale model; Large deviations
Organisational unit
03658 - Schweizer, Martin / Schweizer, Martin
Notes
Received 24 July 2012, Revision received 9 January 2013.
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