关于套利、近似套利和资产定价基本定理的说明

Pub Date : 2013-11-27 DOI:10.1080/17442508.2014.895358

Claudio Fontana

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引用次数: 6

摘要

本文对B. Wong和C.C. Heyde [Stochastics 82 (2010)， pp. 189-200]论文《套利和近似套利:资产定价基本定理》中资产定价基本定理在不完全Itô-process模型背景下的证明进行了批判性分析。我们证明了他们的方法只能在一个完整的金融市场模型的已知情况下起作用，并给出了一个明确的反例。

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

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 Itô-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.

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