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

Claudio Fontana

Papers from arXiv.org

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 It\^o-process models. We show that their approach can only work in the known case of a complete financial market model and give an explicit counterexample.

Date: 2013-11
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Published in Stochastics, 2014, vol. 86(6), 922-931

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1311.7027

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