Time-Consistent Asymptotic Exponential Arbitrage with Small Probable Maximum Loss

【Author】

Jinfeng LI;School of Management, Fudan University;

【Institution】

School of Management, Fudan University;

【Abstract】

Based on a concept of asymptotic exponential arbitrage proposed by F?llmerSchachermayer, the author introduces a new formulation of asymptotic arbitrage with two main differences from the previous one: Firstly, the realising strategy does not depend on the maturity time while the previous one does, and secondly, the probable maximum loss is allowed to be small constant instead of a decreasing function of time. The main result gives a sufficient condition on stock prices for the existence of such asymptotic arbitrage.As a consequence, she gives a new proof of a conjecture of F?llmer and Schachermayer.

【Keywords】

Asymptotic arbitrage;;Time-consistent;;Small probable maximum loss

References

To explore the background and basis of the node document

Springer Journals Database

Total: 0 articles