We explore the role that random arbitrage opportunities play in hedging finalicial derivatives. We extend the asymptotic pricing theory presented by Fedotov and Panayides [Stochastic arbitrage return and its implication for option pricing, Physica A 345 (2005) 207-217] for the case of hedging a derivative when arbitrage opportunities are present in the market. We restrict ourselves to finding hedging confidence intervals that call be adapted to the amount of arbitrage risk in investor will permit to be exposed to. The resulting hedging bands are independent of the detailed statistical characteristics of the arbitrage opportunities. (c) 2005 Elsevier B.V. All rights reserved.
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机译：我们探索随机套利机会在对冲最终衍生品中的作用。我们扩展了Fedotov和Panayides提出的渐进定价理论[随机套利回报及其对期权定价的含义，Physica A 345（2005）207-217]，以在市场上存在套利机会时对冲衍生产品。我们将自己限制在寻找对冲的置信区间内，该区间应适合投资者允许承受的套利风险的数量。由此产生的套期保值带与套利机会的详细统计特征无关。 （c）2005 Elsevier B.V.保留所有权利。
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