Journal article

A Bounded Arbitrage Strategy For A Multiperiod Model Of A Financial Market In Discrete Time

Year:

2008

Published in:

Theory of Probability and Mathematical Statistics

Authors:

, ,

Arbitrage 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.

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