A large financial market is described by a
sequence of traditional market models with finite numbers of assets.
There are various concepts in the spirit of no asymptotic arbitrage
related to the contiguity of a sequence of equivalent martingale
measures with respect to the sequence of historical probabilities. In
this article, I show that in the case of continuous price
processes, the existence of a bicontiguous sequence of martingale
measures is equivalent to the property of no asymptotic free lunch with
bounded risk.
Publié le : 2003-11-14
Classification:
Asymptotic arbitrage,
contiguity of measures,
equivalent martingale measure,
free lunch,
large financial market,
90A09,
46A22,
46B10,
46N10,
60G44,
60H05,
62B20
@article{1069786507,
author = {Klein, Irene},
title = {Free lunch for large financial markets with continuous price processes},
journal = {Ann. Appl. Probab.},
volume = {13},
number = {1},
year = {2003},
pages = { 1494-1503},
language = {en},
url = {http://dml.mathdoc.fr/item/1069786507}
}
Klein, Irene. Free lunch for large financial markets with continuous price processes. Ann. Appl. Probab., Tome 13 (2003) no. 1, pp. 1494-1503. http://gdmltest.u-ga.fr/item/1069786507/