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A bounded arbitrage strategy for a multiperiod model of a financial market in discrete time
Author(s):
Yu.
S.
Mishura;
P.
S.
Shelyazhenko;
G.
M.
Shevchenko
Translated by:
N. Semenov
Original publication:
Teoriya Imovirnostei ta Matematichna Statistika,
vipusk 77
(2007).
Journal:
Theor. Probability and Math. Statist.
No. 77
(2008),
135-146.
MSC (2000):
Primary 91B28
Posted:
January 16, 2009
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Additional information
Abstract:
The notion of  -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.
References:
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- R. C. Dalang, A. Morton, and W. Willinger, Equivalent martingale measures and no-arbitrage in stochastic securities market models, Stochastics and Stochastics Reports 29 (1990), 185-201. MR 1041035 (91g:90056)
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- Yu. M. Kabanov and Ch. Stricker, A teachers' note on no-arbitrage criteria, Séminaire de Probabilités XXXV, pp. 149-152, Lecture Notes in Math., 1755, Springer, Berlin, 2001, MR 1837282 (2003c:60073)
- 9.
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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:
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):
29/JUL/2005
Posted:
January 16, 2009
Copyright of article:
Copyright
2009,
American Mathematical Society
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