英文标题：
《A note on arbitrage, approximate arbitrage and the fundamental theorem
of asset pricing》
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作者：
Claudio Fontana
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最新提交年份：
2013
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英文摘要：
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.
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中文摘要：
我们对B.Wong和C.C.Heyde（Stochastics，2010）在不完全It o过程模型背景下发表的论文《套利和近似套利：资产定价基本定理》中给出的资产定价基本定理的证明进行了批判性分析。我们证明了他们的方法只能在完全金融市场模型的已知情况下工作，并给出了一个明确的反例。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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