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- W4301216977 abstract "In this study we prove the existence of statistical arbitrage opportunities in the Black-Scholes framework by considering trading strategies that consists of borrowing from the risk free rate and taking a long position in the stock until it hits a deterministic barrier level. We derive analytical formulas for the expected value, variance, and probability of loss for the discounted cumulative trading profits. No-statistical arbitrage condition is derived for the Black-Scholes framework, which imposes a constraint on the Sharpe ratio of the stock. Furthermore, we verify our theoretical results via extensive Monte Carlo simulations." @default.
- W4301216977 created "2022-10-05" @default.
- W4301216977 creator A5008462281 @default.
- W4301216977 date "2014-06-21" @default.
- W4301216977 modified "2023-10-14" @default.
- W4301216977 title "Statistical Arbitrage in the Black-Scholes Framework" @default.
- W4301216977 doi "https://doi.org/10.48550/arxiv.1406.5646" @default.
- W4301216977 hasPublicationYear "2014" @default.
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