Arbitrage approximation theory

被引：12

作者：

Clark, SA ^{[1
]}

机构：

[1] Univ Kentucky, Dept Stat, Lexington, KY 40506 USA

来源：

JOURNAL OF MATHEMATICAL ECONOMICS | 2000年 / 33卷 / 02期

关键词：

contingent claims; arbitrage; approximate arbitrage; free lunch; market; linear price functional; valuation operator;

D O I：

10.1016/S0304-4068(99)00016-6

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This essay concerns three principles for eliminating arbitrage opportunities: (i) No Arbitrage (NA), (ii) No Approximate Arbitrage (NAA), and (iii) No Free Lunches (NFL). Assuming there is NAA, the space of contingent claims priced by arbitrage is characterized both analytically and geometrically. If the market is incomplete, then this set is typically a superset of the marketed claims space. Furthermore, it is shown that there exists a unique valuation operator if and only if there are NFL and every contingent claim is priced by arbitrage. Consequently, it is possible that every contingent claim is priced by arbitrage in an incomplete market. (C) 2000 Elsevier Science S.A. All lights reserved.

引用

页码：167 / 181

页数：15

共 8 条

[1]

[Anonymous], 1974, TOPOLOGY NORMED SPAC

[2]

[Anonymous], 1988, Real analysis

[3] THE VALUATION PROBLEM IN ARBITRAGE PRICE THEORY [J].