Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
第45回ISCIE「確率システム理論と応用」国際シンポジウム(2013年11月, 沖縄)
Arbitrage Opportunity on Nonlinear Wealth Processes
Kirati Thoednithi
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ジャーナル フリー

2014 年 2014 巻 p. 100-106

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抄録
In this paper, we mainly concern about nonlinear BSDE which is often used to describe the case of constraint on the wealth of an investor. Unlike the linear case, we can show that under a certain situation, both buyer and seller can create arbitrage opportunities in the derivative market. We utilize the relation between BSDE and PDE in order to obtain a boundary of solution. As a result, we succeeded in establishing a sufficient condition which guarantees the existence of arbitrage opportunities in the market as well as the limitation of an arbitrage.
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© 2014 ISCIE Symposium on Stochastic Systems Theory and Its Applications
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