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November 2003 Free lunch for large financial markets with continuous price processes
Irene Klein
Ann. Appl. Probab. 13(4): 1494-1503 (November 2003). DOI: 10.1214/aoap/1069786507

Abstract

A large financial market is described by a sequence of traditional market models with finite numbers of assets. There are various concepts in the spirit of no asymptotic arbitrage related to the contiguity of a sequence of equivalent martingale measures with respect to the sequence of historical probabilities. In this article, I show that in the case of continuous price processes, the existence of a bicontiguous sequence of martingale measures is equivalent to the property of no asymptotic free lunch with bounded risk.

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Irene Klein. "Free lunch for large financial markets with continuous price processes." Ann. Appl. Probab. 13 (4) 1494 - 1503, November 2003. https://doi.org/10.1214/aoap/1069786507

Information

Published: November 2003
First available in Project Euclid: 25 November 2003

zbMATH: 1060.91064
MathSciNet: MR2023885
Digital Object Identifier: 10.1214/aoap/1069786507

Subjects:
Primary: 46A22‎ , 46B10 , 46N10 , 60G44 , 60H05 , 62B20 , 90A09

Keywords: Asymptotic arbitrage , contiguity of measures , equivalent martingale measure , free lunch , large financial market

Rights: Copyright © 2003 Institute of Mathematical Statistics

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Vol.13 • No. 4 • November 2003
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