A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing
Pricing of Securities
2015-08-14 v1 Probability
Abstract
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, 2010) in the context of incomplete It\^o-process models. We show that their approach can only work in the known case of a complete financial market model and give an explicit counterexample.
Keywords
Cite
@article{arxiv.1311.7027,
title = {A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing},
author = {Claudio Fontana},
journal= {arXiv preprint arXiv:1311.7027},
year = {2015}
}
Comments
10 pages