Mon, 14 May 2018
14:15 -
15:15
L3
Statistical Arbitrage in Black-Scholes Theory
WEIAN ZHENG
(UCI China)
Abstract
The celebrated Black-Scholes theory shows that one can get a risk-neutral option price through hedging. The Cameron-Martin-Girsanov theorem for diffusion processes plays a key role in this theory. We show that one can get some statistical arbitrage from a sequence of well-designed repeated trading at their prices according to the ergodic theorem for stationary process. Our result is based on both theoretical model and the real market data.