英文标题：
《Dynamic trading under integer constraints》
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作者：
Stefan Gerhold, Paul Kr\\\"uhner
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最新提交年份：
2017
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英文摘要：
In this paper we investigate discrete time trading under integer constraints, that is, we assume that the offered goods or shares are traded in integer quantities instead of the usual real quantity assumption. For finite probability spaces and rational asset prices this has little effect on the core of the theory of no-arbitrage pricing. For price processes not restricted to the rational numbers, a novel theory of integer arbitrage free pricing and hedging emerges. We establish an FTAP, involving a set of absolutely continuous martingale measures satisfying an additional property. The set of prices of a contingent claim is no longer an interval, but is either empty or dense in an interval. We also discuss superhedging with integral portfolios.
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中文摘要：
在本文中，我们研究整数约束下的离散时间交易，即我们假设所提供的商品或股票以整数数量交易，而不是通常的实际数量假设。对于有限概率空间和理性资产价格，这对无套利定价理论的核心几乎没有影响。对于不限于有理数的价格过程，出现了一种新的整数无套利定价和套期保值理论。我们建立了一个FTAP，涉及一组满足附加性质的绝对连续鞅测度。未定权益的价格集不再是一个区间，而是在一个区间内为空或稠密。我们还讨论了积分投资组合的超边缘化。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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