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

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Year of publication:	2013-04-26
Authors:	Fontana, Claudio
Institutions:	HAL

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://hal.inria.fr/hal-00818487
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010821222