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A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing

Claudio Fontana 1 
1 MATHRISK - Mathematical Risk handling
Inria Paris-Rocquencourt, UPEM - Université Paris-Est Marne-la-Vallée, ENPC - École des Ponts ParisTech
Abstract : We provide a critical analysis of the proof of the fundamental theorem of asset pricing given in the paper Arbitrage and approximate arbitrage: the fundamental theorem of asset pricing by B. Wong and C.C. Heyde (Stochastics, 2010) in the context of incomplete Itô-process models. We show that their approach can only work in the known case of a complete financial market and give an explicit counterexample.
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Submitted on : Saturday, April 27, 2013 - 10:39:53 AM
Last modification on : Thursday, January 20, 2022 - 5:29:57 PM
Long-term archiving on: : Sunday, July 28, 2013 - 2:50:10 AM

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Claudio Fontana. A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing. [Research Report] RR-8292, INRIA. 2013. ⟨hal-00818487⟩

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