A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing

被引：1

作者：

Fontana, Claudio ^{[1
]}

机构：

[1] Univ Evry Val dEssonne, Lab Anal & Probabilite, F-91037 Evry, France

来源：

STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2014年 / 86卷 / 06期

关键词：

arbitrage; fundamental theorem of asset pricing; Ito-process; complete market; equivalent local martingale measure; martingale deflator; 60G44; 60H05; 91B70; 91G10;

D O I：

10.1080/17442508.2014.895358

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We provide a critical analysis of the proof of the fundamental theorem of asset pricing given in the paper Arbitrage and approximate arbitrage: the fundamental theorem of asset pricing by B. Wong and C.C. Heyde [Stochastics 82 (2010), pp. 189-200] in the context of incomplete Ito-process models. We show that their approach can only work in the known case of a complete financial market model and give an explicit counter example.

引用

页码：922 / 931

页数：10

共 16 条

[1] The fundamental theorem of asset pricing for unbounded stochastic processes [J].