Consistency among trading desks View Full Text


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Article Info

DATE

2006-08-03

AUTHORS

David Heath, Hyejin Ku

ABSTRACT

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. More... »

PAGES

331-340

References to SciGraph publications

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s00780-006-0014-4

DOI

http://dx.doi.org/10.1007/s00780-006-0014-4

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1036684076


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