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. 

 

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