A NECESSARY AND SUFFICIENT CONDITION FOR ABSENCE OF ARBITRAGE WITH TAME PORTFOLIOS
成果类型：
Article
署名作者：
Levental, Shlomo; Skorohod, Antolii V.
署名单位：
Michigan State University
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/aoap/1177004599
发表日期：
1995
页码：
906-925
关键词：
摘要：
We characterize absence of arbitrage with tame portfolios in the case of invertible volatility matrix. As a corollary we get that, under a certain condition, absence of arbitrage with tame portfolios is characterized by the existence of the so-called equivalent martingale measure. Without that condition, the existence of equivalent martingale measure is equivalent to absence of approximate arbitrage. The proofs are probabilistic and are based on a construction of two specific arbitrages. Some examples are provided.