Dutch Book Argument for Banks
The paper outlines seven mathematical rules to prevent bank arbitrage, pointing out that existing models like Black-Scholes and the Heston model violate these rules.
Featured in No. 60 on 7 Aug 2024 · 8 days after release
- Released
- 30 Jul 2024
- First featured
- No. 60 · 7 Aug 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4912406
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