ARBITRAGE AND FREE LUNCH WITH BOUNDED RISK FOR UNBOUNDED CONTINUOUS PROCESSES |
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| Authors: | Freddy Delbaen Walter Schachermayer |
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| Affiliation: | Institute of Actuarial Sciences, Department of Mathematics, Vrije Universiteit Brussel, Brussels, Belgium;Universität Wien, Institut für Mathematik, Wien, Austria |
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| Abstract: | ![]()
We give two examples showing that for unbounded continuous price processes, the no-free-lunch assumption and the existence of an equivalent martingale measure are not equivalent. In fact it turns out that the notion of an equivalent local martingale measure is natural in this context. |
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| Keywords: | martingale risk-neutral measure local martingale no free lunch arbitrage bounded risk Bessel process |
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