跳跃扩散市场模型中鞅测度的存在性
数理金融
2015-11-30 v1
摘要
在跳跃扩散市场模型的背景下，我们构造了满足较弱的无套利条件NA1 (NUPBR)但不满足NFLVR的例子。我们证明在这些例子中，等价局部鞅测度的密度过程的唯一候选是一个超鞅，它不是一个鞅，甚至不是局部鞅。该候选由贴现增长最优组合的逆所产生的超鞅平减因子(deflator)给出。特别地，我们考虑了一个具有超出标准可容性约束的投资组合约束的例子。
引用
@article{arxiv.1511.08349,
title = {On the Existence of Martingale Measures in Jump Diffusion Market Models},
author = {Jacopo Mancin and Wolfgang J. Runggaldier},
journal= {arXiv preprint arXiv:1511.08349},
year = {2015}
}
备注
A version has appeared in "Arbitrage, Credit and Informational Risks", Peking University Series in Mathematics Vol.5, World Scientific 2014. Arbitrage, Credit and Informational Risks, (C. Hillairet, M. Jeanblanc, Y. Jiao, eds.). Peking University Series in Mathematics, Vol.5, World Scientific Publishing Co. Pte. Ltd., 2014, pp.29-51