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- W3122195655 abstract "For a large financial market (which is a sequence of usual, “small” financial markets), we introduce and study a concept of no asymptotic arbitrage (of the first kind) which is invariant under discounting. We give two dual characterisations of this property in terms of (1) martingale-like properties for each small market plus (2) a contiguity property, along the sequence of small markets, of suitably chosen “generalised martingale measures”. Our results extend the work of Rokhlin and of Klein/Schachermayer and Kabanov/Kramkov to a discounting-invariant framework. We also show how a market on [0,∞) can be viewed as a large financial market and how no asymptotic arbitrage, both classic and in our new sense, then relates to no-arbitrage properties directly on [0,∞)." @default.
- W3122195655 created "2021-02-01" @default.
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- W3122195655 date "2018-01-01" @default.
- W3122195655 modified "2023-09-23" @default.
- W3122195655 title "Large Financial Markets, Discounting, and No Asymptotic Arbitrage" @default.
- W3122195655 doi "https://doi.org/10.2139/ssrn.3280855" @default.
- W3122195655 hasPublicationYear "2018" @default.
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