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arXiv · 1311.7027

A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing

Claudio Fontana
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Abstract

We provide a critical analysis of the proof of the fundamental theorem of asset pricing given in the paper "Arbitrage and approximate arbitrage: the fundamental theorem of asset pricing" by B. Wong and C.C. Heyde (Stochastics, 2010) in the context of incomplete Itô-process models. We show that their approach can only work in the known case of a complete financial market model and give an explicit counterexample.

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Claudio Fontana. 2013-11-27. A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing. https://doi.org/10.1080/17442508.2014.895358

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