A note on asymptotic exponential arbitrage with exponentially decaying failure probability
Probability
2012-07-27 v1 Pricing of Securities
Abstract
The goal of this paper is to prove a result conjectured in F\"ollmer and Schachermayer [FS07], even in slightly more general form. Suppose that S is a continuous semimartingale and satisfies a large deviations estimate; this is a particular growth condition on the mean-variance tradeoff process of S. We show that S then allows asymptotic exponential arbitrage with exponentially decaying failure probability, which is a strong and quantitative form of long-term arbitrage. In contrast to F\"ollmer and Schachermayer [FS07], our result does not assume that S is a diffusion, nor does it need any ergodicity assumption.
Keywords
Cite
@article{arxiv.1207.6281,
title = {A note on asymptotic exponential arbitrage with exponentially decaying failure probability},
author = {Kai Du and Ariel David Neufeld},
journal= {arXiv preprint arXiv:1207.6281},
year = {2012}
}