论文标题
反射的几何布朗运动的套利问题
Arbitrage Problems with Reflected Geometric Brownian Motion
论文作者
论文摘要
与几位作者提出的索赔相反，一个金融市场模型，其中风险安全的价格遵循反映的几何布朗尼动议并非无套。实际上，这种模型甚至违反了文献中考虑的最弱的无肢体条件。因此，他们不承认NumérairePortfolios或同等风险中立的概率指标，这使它们完全不适合或不适合索赔估值。毫不奇怪，此类模型的已发表的选项定价公式违反了教科书无契约范围。
Contrary to the claims made by several authors, a financial market model in which the price of a risky security follows a reflected geometric Brownian motion is not arbitrage-free. In fact, such models violate even the weakest no-arbitrage condition considered in the literature. Consequently, they do not admit numéraire portfolios or equivalent risk-neutral probability measures, which makes them totally unsuitable for contingent claim valuation. Unsurprisingly, the published option pricing formulae for such models violate textbook no-arbitrage bounds.
