A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing
arXiv:1311.7027 · doi:10.1080/17442508.2014.895358
Abstract
We provide a critical analysis of the proof of the fundamental theorem of asset pricing given in the paper "Arbitrage and approximate arbitrage: the fundamental theorem of asset pricing" by B. Wong and C.C. Heyde (Stochastics, 2010) in the context of incomplete Itô-process models. We show that their approach can only work in the known case of a complete financial market model and give an explicit counterexample.
10 pages