Journal article
A Bounded Arbitrage Strategy For A Multiperiod Model Of A Financial Market In Discrete Time
Year:
2008Published in:
Theory of Probability and Mathematical StatisticsArbitrage strategy
ε-arbitrage strategy
financial market
multiperiod model
self-financing strategy
The notion of ε-arbitrage strategy is introduced for a multiperiod model. A theorem, analogous to the classical first fundamental theorem for a usual arbitrage strategy, is proved for this model. The difference between single-period and multiperiod models is discussed.