A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing
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.
Year of publication: |
2013-11
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Authors: | Fontana, Claudio |
Institutions: | arXiv.org |
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