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2017 | 16 |
Tytuł artykułu

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

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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.
Rocznik
Tom
16
Opis fizyczny
Daty
wydano
2017-12-01
otrzymano
2016-03-14
zaakceptowano
2017-05-12
online
2018-01-27
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autor
Bibliografia
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.doi-10_1515_aupcsm-2017-0002
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