RIS ID
101364
Abstract
The goal of this paper is to prove a result conjectured in Follmer and Schachermayer (2007) in a slightly more general form. Suppose that S is a continuous semimartingale and satisfies a large deviations estimate; this is a particular growth condition on the mean-variance tradeoff process of S. We show that S then allows asymptotic exponential arbitrage wiith exponentially decaying failure probability, which is a strong and quantitative form of long-term arbitrage. In contrast to Follmer and Schachermayer (2007), our result does not assume that S is a diffusion, nor does it need any ergodicity assumption.
Publication Details
Du, K. & Neufeld, A. (2013). A note on asymptotic exponential arbitrage with exponentially decaying failure probability. Journal of Applied Probability, 50 801-809.