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| Time-Consistent Asymptotic Exponential Arbitrage with Small Probable Maximum Loss |
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Citation： |
Jinfeng LI.Time-Consistent Asymptotic Exponential Arbitrage with Small Probable Maximum Loss[J].Chinese Annals of Mathematics B,2019,40(4):495~500 |
| Page view： 1706
Net amount： 1454 |
Authors： |
Jinfeng LI; |
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| 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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