关于套利、近似套利和资产定价基本定理的说明

IF 0.8 4区数学 Q3 MATHEMATICS, APPLIED

Stochastics-An International Journal of Probability and Stochastic Processes 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。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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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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来源期刊

Stochastics-An International Journal of Probability and Stochastic Processes MATHEMATICS, APPLIED-STATISTICS & PROBABILITY

CiteScore

1.90

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Stochastics: An International Journal of Probability and Stochastic Processes is a world-leading journal publishing research concerned with stochastic processes and their applications in the modelling, analysis and optimization of stochastic systems, i.e. processes characterized both by temporal or spatial evolution and by the presence of random effects. Articles are published dealing with all aspects of stochastic systems analysis, characterization problems, stochastic modelling and identification, optimization, filtering and control and with related questions in the theory of stochastic processes. The journal also solicits papers dealing with significant applications of stochastic process theory to problems in engineering systems, the physical and life sciences, economics and other areas. Proposals for special issues in cutting-edge areas are welcome and should be directed to the Editor-in-Chief who will review accordingly. In recent years there has been a growing interaction between current research in probability theory and problems in stochastic systems. The objective of Stochastics is to encourage this trend, promoting an awareness of the latest theoretical developments on the one hand and of mathematical problems arising in applications on the other.