论文标题
没有套利和乘法特殊半明天
No arbitrage and multiplicative special semimartingales
论文作者
论文摘要
考虑一个具有非负半段的金融市场，不需要有数字。我们对没有套利的意义上的意义上没有自给自足的投资组合产生套利机会，因此我们很感兴趣，在这种情况下，我们可以在市场向市场添加储蓄帐户。我们将在这个意义上证明，只有存在等效的本地Martingale缩写器，这是一个乘法特殊的Semimartingale时，市场就没有套利。在这种情况下，附加的储蓄帐户与缩放器的乘法分解的有限变化部分有关。
Consider a financial market with nonnegative semimartingales which does not need to have a numéraire. We are interested in the absence of arbitrage in the sense that no self-financing portfolio gives rise to arbitrage opportunities, where we are allowed to add a savings account to the market. We will prove that in this sense the market is free of arbitrage if and only if there exists an equivalent local martingale deflator which is a multiplicative special semimartingale. In this case, the additional savings account relates to the finite variation part of the multiplicative decomposition of the deflator.
