Skip navigation
Skip navigation

Arbitrage and approximate arbitrage: The fundamental theorem of asset pricing

Wong, Bernard; Heyde, C C

Description

We consider an incomplete market model where asset prices are modelled by Ito processes, and derive the first fundamental theorem of asset pricing using standard stochastic calculus techniques. This contrasts with the sophisticated functional analytic theorems required in the comprehensive works of F. Delbaen and W. Schachermayer (1993) No Arbitrage and the Fundamental Theorem of Asset Pricing, pp. 37-38; Math. Finance 4 (1994), pp. 343-348; Math. Ann. 300 (1994), pp. 464-520; Ann. Appl....[Show more]

CollectionsANU Research Publications
Date published: 2010
Type: Journal article
URI: http://hdl.handle.net/1885/63477
Source: Stochastics
DOI: 10.1080/17442500903251824

Download

File Description SizeFormat Image
01_Wong_Arbitrage_and_approximate_2010.pdf142.61 kBAdobe PDF    Request a copy


Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  23 August 2018/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator