Discrete-time market models from the small investor point of view and the first fundamental-type theorem

• Autorzy: Marek Karaś , Anna Serwatka
• Języki publikacji: EN

Abstrakty

EN

In this paper, we discuss the no-arbitrage condition in a discrete financial market model which does not hold the same interest rate assumptions. Our research was based on, essentially, one of the most important results in mathematical finance, called the Fundamental Theorem of Asset Pricing. For the standard approach a risk-free bank account process is used as numeraire. In those models it is assumed that the interest rates for borrowing and saving money are the same. In our paper we consider the model of a market (with d risky assets), which does not hold the same interest rate assumptions. We introduce two predictable processes for modelling deposits and loans. We propose a new concept of a martingale pair for the market and prove that if there exists a martingale pair for the considered market, then there is no arbitrage opportunity. We also consider special cases in which the existence of a martingale pair is necessary and the sufficient conditions for these markets to be arbitrage free.

Słowa kluczowe

EN

market model; arbitrage strategy; arbitrage opportunity; arbitrege-free market

• Wydawca: Wydawnictwo Naukowe Uniwersytetu Pedagogicznego
• Czasopismo: Annales Universitatis Paedagogicae Cracoviensis. Studia Mathematica
• Rocznik: 2017
• Tom: 16

Daty

wydano

2017-12-01

otrzymano

2016-03-14

zaakceptowano

2017-05-12

online

2018-01-27

Twórcy

autor

Marek Karaś

• , , al. A. Mickiewicza, 30 ,

autor

Anna Serwatka

• , , ul. Łojasiewicza 6, ,

Identyfikatory

DOI

10.1515/aupcsm-2017-0002