论文标题
资产定价的定量基本定理
Quantitative Fundamental Theorem of Asset Pricing
论文作者
论文摘要
在本文中，我们对套利的概念提供了定量分析，该分析允许在不施加无关注条件的情况下处理模型不确定性。 In markets that admit ``small arbitrage", we can still make sense of the problems of pricing and hedging. The pricing measures here will be such that asset price processes are close to being martingales, and the hedging strategies will need to cover some additional cost. We show a quantitative version of the Fundamental Theorem of Asset Pricing and of the Super-Replication Theorem. Finally, we study robustness of the amount of arbitrage以及各自的定价措施的存在，显示了这些概念在强大的瓦斯泰因距离方面的稳定性。
In this paper we provide a quantitative analysis to the concept of arbitrage, that allows to deal with model uncertainty without imposing the no-arbitrage condition. In markets that admit ``small arbitrage", we can still make sense of the problems of pricing and hedging. The pricing measures here will be such that asset price processes are close to being martingales, and the hedging strategies will need to cover some additional cost. We show a quantitative version of the Fundamental Theorem of Asset Pricing and of the Super-Replication Theorem. Finally, we study robustness of the amount of arbitrage and existence of respective pricing measures, showing stability of these concepts with respect to a strong adapted Wasserstein distance.
