英文标题：
《Statistical Arbitrage in the Black-Scholes Framework》
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作者：
Ahmet Goncu
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最新提交年份：
2014
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英文摘要：
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.
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中文摘要：
在这项研究中，我们通过考虑从无风险利率借款并在股票中持有多头头寸直到达到确定的障碍水平的交易策略，证明了Black-Scholes框架下统计套利机会的存在。我们推导了贴现累积交易利润的预期值、方差和损失概率的分析公式。Black-Scholes框架没有推导出统计套利条件，该框架对股票的夏普比率施加了约束。此外，我们通过大量的蒙特卡罗模拟验证了我们的理论结果。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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