A note on asymptotic exponential arbitrage with exponentially decaying failure probability (Q2854082)
From MaRDI portal
| File:Ambox important.svg | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A note on asymptotic exponential arbitrage with exponentially decaying failure probability |
scientific article; zbMATH DE number 6216060
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on asymptotic exponential arbitrage with exponentially decaying failure probability |
scientific article; zbMATH DE number 6216060 |
Statements
17 October 2013
0 references
asymptotic exponential arbitrage
0 references
continuous semimartingale model
0 references
large deviations
0 references
A note on asymptotic exponential arbitrage with exponentially decaying failure probability (English)
0 references
The main result of the paper states that if a price process \(S\) is a continuous semimartingale and satisfies a large deviations estimate (a particular growth condition on the mean-variance tradeoff of \(S\)), then \(S\) allows for asymptotic exponential arbitrage with exponentially decaying failure probability. This statement is a proof of a result conjectured by \textit{H. Föllmer} and \textit{W. Schachermayer} [Math. Financ. Econ. 1, No. 3--4, 213--249 (2008; Zbl 1153.91015)], but, in contrast to the latest conjecture, the authors' result does not assume that \(S\) is a diffusion and does not need any ergodicity assumption.
0 references
