A Note on Asymptotic Exponential Arbitrage with Exponentially Decaying Failure Probability
نویسندگان
چکیده
منابع مشابه
A Note on Asymptotic Exponential Arbitrage with Exponentially Decaying Failure Probability
The goal of this paper is to prove a result conjectured in Föllmer and Schachermayer [FS07], even in slightly more general form. Suppose that S is a continuous semimartingale and satisfies a large deviations estimate; this is a particular growth condition on the mean-variance tradeoff process of S. We show that S then allows asymptotic exponential arbitrage with exponentially decaying failure p...
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2013
ISSN: 0021-9002,1475-6072
DOI: 10.1017/s0021900200009852