Time-Consistent Asymptotic Exponential Arbitrage with Small Probable Maximum Loss

Citation:

Jinfeng LI.Time-Consistent Asymptotic Exponential Arbitrage with Small Probable Maximum Loss[J].Chinese Annals of Mathematics B,2019,40(4):495~500
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Authors:

Jinfeng LI;
Abstract: Based on a concept of asymptotic exponential arbitrage proposed by F{\"o}llmer-Schachermayer, 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\"ollmer and Schachermayer.

Keywords:

Asymptotic arbitrage, Time-consistent, Small probable maximum loss

Classification:

91G10
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