Robust Statistical Arbitrage Strategies

Author:

Lütkebohmert Eva,Sester Julian

Publisher

Elsevier BV

Reference29 articles.

1. A model-free version of the fundamental theorem of asset pricing and the super-replication theorem;Beatrice ; Acciaio;Mathematical Finance,2016

2. Sampling of one-dimensional probability measures in the convex order and computation of robust option price bounds;Aur�lien ; Alfonsi;International Journal of Theoretical and Applied Finance,2019

3. Statistical arbitrage in the US equities market;Marco ; Avellaneda;Quantitative Finance,2010

4. Semi-static completeness and robust pricing by informed investors;Beatrice ; Acciaio;The Annals of Applied Probability,2017

5. Model-independent bounds for option prices: a mass transport approach;Mathias ; Beiglb�ck;Finance and Stochastics,2013

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