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dc.contributor.authorSchürger, Klausen
dc.date.accessioned2009-01-29T15:10:04Z-
dc.date.available2009-01-29T15:10:04Z-
dc.date.issued2002-
dc.identifier.urihttp://hdl.handle.net/10419/22821-
dc.description.abstractLet S=(S_t), t=0,1,...,T (T being finite), be an adapted R^d-valued process. Each component process of S might be interpreted as the price process of a certain security. A trading strategy H=(H_t), t= 1,...,T, is a predictable R^d-valued process. A strategy H is called extreme if it represents a maximal arbitrage opportunity. By this we mean that H generates at time T a nonnegative portfolio value which is positive with maximal probability. Let $F^e$ denote the set of all states of the world at which the portfolio value at time T, generated by an extreme strategy (which is shown to exist), is equal to zero. We characterize those subsets of F^e, on which no arbitrage opportunities exist.en
dc.language.isoengen
dc.publisher|aUniversity of Bonn, Bonn Graduate School of Economics (BGSE) |cBonnen
dc.relation.ispartofseries|aBonn Econ Discussion Papers |x9/2002en
dc.subject.jelG12en
dc.subject.jelD40en
dc.subject.jelG13en
dc.subject.ddc330en
dc.subject.keywordArbitrageen
dc.subject.keywordmartingale measureen
dc.subject.stwArbitrage Pricingen
dc.subject.stwMartingaleen
dc.subject.stwTheorieen
dc.titleMaximal Arbitrage-
dc.typeWorking Paperen
dc.identifier.ppn374123039en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bonedp:92002-

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