A Note on Asymptotic Exponential Arbitrage with Exponentially Decaying Failure Probability

DOI10.1239/jap/1378401237zbMath1286.91124arXiv1207.6281OpenAlexW2031688509MaRDI QIDQ2854082

Kai Du, Ariel Neufeld

Publication date: 17 October 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.6281

zbMATH Keywords

large deviationscontinuous semimartingale modelasymptotic exponential arbitrage

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Large deviations (60F10) Portfolio theory (91G10)

Related Items (3)

Time-consistent asymptotic exponential arbitrage with small probable maximum loss ⋮ Asymptotic exponential arbitrage in the Schwartz commodity futures model ⋮ Asymptotic exponential arbitrage and utility-based asymptotic arbitrage in Markovian models of financial markets

Cites Work

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• Asymptotic arbitrage and large deviations
• On long-term arbitrage opportunities in Markovian models of financial markets
• On the minimal martingale measure and the möllmer-schweizer decomposition

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