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Theory of Probability and Mathematical Statistics
Theory of Probability and Mathematical Statistics
ISSN 1547-7363(online) ISSN 0094-9000(print)

 

A bounded arbitrage strategy for a multiperiod model of a financial market in discrete time


Authors: Yu. S. Mishura, P. S. Shelyazhenko and G. M. Shevchenko
Translated by: N. Semenov
Original publication: Teoriya Imovirnostei ta Matematichna Statistika, tom 77 (2007).
Journal: Theor. Probability and Math. Statist. 77 (2008), 135-146
MSC (2000): Primary 91B28
Published electronically: January 16, 2009
MathSciNet review: 2432777
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Abstract | References | Similar Articles | Additional Information

Abstract: The notion of $ \varepsilon$-arbitrage strategy is introduced for a multiperiod model. A theorem, analogous to the classical first fundamental theorem for a usual arbitrage strategy, is proved for this model. The difference between single-period and multiperiod models is discussed.


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Additional Information

Yu. S. Mishura
Affiliation: Department of Probability Theory and Mathematical Statistics, Faculty for Mechanics and Mathematics, National Taras Shevchenko University, Academician Glushkov Avenue 6, Kyiv 03127, Ukraine
Email: myus@univ.kiev.ua

P. S. Shelyazhenko
Affiliation: Department of Probability Theory and Mathematical Statistics, Faculty for Mechanics and Mathematics, National Taras Shevchenko University, Academician Glushkov Avenue 6, Kyiv 03127, Ukraine
Email: Pavlo.Shelyazhenko@gmail.com

G. M. Shevchenko
Affiliation: Department of Probability Theory and Mathematical Statistics, Faculty for Mechanics and Mathematics, National Taras Shevchenko University, Academician Glushkov Avenue 6, Kyiv 03127, Ukraine
Email: zhora@univ.kiev.ua

DOI: http://dx.doi.org/10.1090/S0094-9000-09-00752-2
PII: S 0094-9000(09)00752-2
Keywords: Arbitrage strategy, $\eps $-{\arbitrage }, financial market, multiperiod model, self-financing strategy
Received by editor(s): July 29, 2005
Published electronically: January 16, 2009
Article copyright: © Copyright 2009 American Mathematical Society