Some Results from Arbitrage Opportunity on Nonlinear Wealth Processes

• Kirati Thoednithi

  Graduate School of Engineering Science, Osaka University

抄録

In this paper, we mainly concern about nonlinear BSDE which is often used to describe a case of constraint on the wealth of an investor. Unlike the linear case, we can show that under a certain situation, both buyer and seller can create arbitrage opportunities in the derivative market. We utilize a relation between BSDE and PDE in order to obtain the bounds of a solution. As a result, we succeed in establishing a sufficient condition which guarantees the existence of the arbitrage opportunities, and the limitation of the arbitrages as well. In addition, we are able to extend the results to a more general class of models and accomplish in strengthening the comonotonic theorem for BSDEs. Furthermore, by applying the results, we obtain a sufficient condition that ensures the additivity of g-expectation even when a generator of BSDE is nonlinear.

収録刊行物

• システム制御情報学会論文誌

  システム制御情報学会論文誌 28 (7), 291-298, 2015

  一般社団法人 システム制御情報学会

キーワード

• Backward Stochastic Differential Equation (BSDE)
• arbitrage
• derivative pricing
• comonotonic
• <i>g</i>-pectation

詳細情報

• CRID: 1390282680145835392
• NII論文ID: 130005103393
• NII書誌ID: AN1013280X
• DOI: 10.5687/iscie.28.291
• ISSN: 2185811X
• ISSN: 13425668
• NDL書誌ID: 026581377
• Web Site: https://ndlsearch.ndl.go.jp/books/R000000004-I026581377
• Web Site: https://www.jstage.jst.go.jp/article/iscie/28/7/28_291/_pdf
• 本文言語コード: en
• データソース種別:
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  • NDL
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