Time-Consistent Asymptotic Exponential Arbitrage with Small Probable Maximum Loss

Based on a concept of asymptotic exponential arbitrage proposed by Föllmer-Schachermayer, the author introduces a new formulation of asymptotic arbitrage with two main differences from the previous one: Firstly, the realising strategy does not depend on the maturity time while the previous one does,...

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Bibliographic Details
Published in:Chinese annals of mathematics. Serie B 2019-07, Vol.40 (4), p.495-500
Main Author: Li, Jinfeng
Format: Article
Language:English
Subjects:
Applications of Mathematics
Arbitrage
Asymptotic properties
Mathematics
Mathematics and Statistics
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Summary:Based on a concept of asymptotic exponential arbitrage proposed by Föllmer-Schachermayer, the author introduces a new formulation of asymptotic arbitrage with two main differences from the previous one: Firstly, the realising strategy does not depend on the maturity time while the previous one does, and secondly, the probable maximum loss is allowed to be small constant instead of a decreasing function of time. The main result gives a sufficient condition on stock prices for the existence of such asymptotic arbitrage. As a consequence, she gives a new proof of a conjecture of Föllmer and Schachermayer.
ISSN:0252-9599
1860-6261
DOI:10.1007/s11401-019-0147-3