A comparison of two no-arbitrage conditions 被引量：1

A comparison of two no-arbitrage conditions

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摘要 We give a comparison of two no-arbitrage conditions for the fundamental theorem of asset pricing. The first condition is named as the no free lunch with vanishing risk condition and the second the no good deal condition. We aim to derive a relationship between these two conditions. We give a comparison of two no-arbitrage conditions for the fundamental theorem of asset pricing. The first condition is named as the no free lunch with vanishing risk condition and the second the no good deal condition. We aim to derive a relationship between these two conditions.

作者 Miao WANG Jiang-Lun WU

机构地区 Department of Mathematics School of Mathematics

出处《Frontiers of Mathematics in China》 SCIE CSCD 2014年第4期929-946,共18页 中国高等学校学术文摘·数学（英文）

关键词 No free lunch with vanishing risk condition no good deal condition extension theorem fundamental theorem equivalent martingale measures No free lunch with vanishing risk condition, no good deal condition,extension theorem, fundamental theorem, equivalent martingale measures

分类号 F0 [经济管理—政治经济学] F830.59 [经济管理—金融学]

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参考文献1

1TRUMAN Aubrey,WANG FengYu,WU JiangLun,YANG Wei.A link of stochastic differential equations to nonlinear parabolic equations[J].Science China Mathematics,2012,55(10):1971-1976. 被引量：7

二级参考文献16

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共引文献6

1Miao WANG,Jiang-Lun WU.Necessary and sufficient conditions for path-independence of Girsanov transformation for infinite-dimensional stochastic evolution equations[J].Frontiers of Mathematics in China,2014,9(3):601-622. 被引量：2
2李琳,吴奖伦,许永峰.非线性交易策略下两种无套利条件的比较（英文）[J].纯粹数学与应用数学,2018,34(4):411-430. 被引量：1
3Panpan REN,Fen-Fen YANG.Path independence of additive functionals for stochastic differential equations under G-framework[J].Frontiers of Mathematics in China,2019,14(1):135-148. 被引量：2
4Lin LIN,Fang XU,Qi ZHANG.The Link between Stochastic Differential Equations with Non-Markovian Coefficients and Backward Stochastic Partial Differential Equations[J].Acta Mathematica Sinica,English Series,2021,37(3):447-457. 被引量：1
5王凤雨,吴奖伦.关于随机微分方程Girsanov变换的路径独立性[J].中国科学：数学,2021,51(11):1861-1876.
6Huijie Qiao,Jiang-Lun Wu.Path independence of the additive functionals for stochastic differential equations driven by G-lévy processes[J].Probability, Uncertainty and Quantitative Risk,2022,7(2):101-118.

同被引文献1

1TRUMAN Aubrey,WANG FengYu,WU JiangLun,YANG Wei.A link of stochastic differential equations to nonlinear parabolic equations[J].Science China Mathematics,2012,55(10):1971-1976. 被引量：7

引证文献1

1李琳,吴奖伦,许永峰.非线性交易策略下两种无套利条件的比较（英文）[J].纯粹数学与应用数学,2018,34(4):411-430. 被引量：1

二级引证文献1

1刘向丽,崔文泓.一种基于决策树的用于构建量化策略的分类器[J].纯粹数学与应用数学,2023,39(3):339-349.

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