多维扩散市场中套利不存在与存在的确定性准则
数理金融
2017-12-22 v5 概率论
摘要
我们推导了由多维非齐次时间扩散驱动的金融市场中等价（局部）鞅测度存在与不存在的确定性准则。我们的条件可用于构造满足有界风险下无界收益条件但经典风险消失下无免费午餐条件不成立的金融市场。
引用
@article{arxiv.1609.01621,
title = {Deterministic Criteria for the Absence and Existence of Arbitrage in Multi-Dimensional Diffusion Markets},
author = {David Criens},
journal= {arXiv preprint arXiv:1609.01621},
year = {2017}
}
备注
Forthcoming in "International Journal of Theoretical and Applied Finance"