Free lunch for large financial markets with continuous price processes

• 成果类型: Article
• 署名作者: Klein, I
• 署名单位: University of Vienna
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/aoap/1069786507
• 发表日期: 2003
• 页码: 1494-1503
• 关键词: fundamental theorem; arbitrage; version

摘要

A large financial market is described by a sequence of traditional market models with finite numbers of assets. There are various concepts in the spirit of no asymptotic arbitrage related to the contiguity of a sequence of equivalent martingale measures with respect to the sequence of historical probabilities. In this article, I show that in the case of continuous price processes, the existence of a bicontiguous sequence of martingale measures is equivalent to the property of no asymptotic free lunch with bounded risk.