Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory

被引：4

作者：

Jarrow, Robert ^{[1
,2
]}

Protter, Philip ^{[3
]}

机构：

[1] Cornell Univ, Johnson Grad Sch Management, Ithaca, NY 14853 USA

[2] Kamakura Corp, Honolulu, HI 96815 USA

[3] Columbia Univ, Dept Stat, New York, NY 10027 USA

来源：

FINANCE RESEARCH LETTERS | 2012年 / 9卷 / 02期

基金：

美国国家科学基金会;

关键词：

Local martingales; Singular processes; Arbitrage opportunities; Large traders; Asset price bubbles; Market efficiency; FUNDAMENTAL THEOREM; ARBITRAGE; MARKETS; BUBBLES;

D O I：

10.1016/j.frl.2012.03.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In economic theory, both discrete and continuous time models are commonly believed to be equivalent in the sense that one can always be used to approximate the other, or equivalently, any phenomena present in one is also present in the other. This common belief is misguided. Both (strict) local martingales and singular processes exist in continuous time, but not in discrete time models. More importantly, their existence reflects real economic phenomena related to arbitrage opportunities, large traders, asset price bubbles, and market efficiency. And as an approximation to trading opportunities in real markets, continuous trading provides a better fit and should be the preferred modeling approach for asset pricing theory. (C) 2012 Elsevier Inc. All rights reserved.

引用

页码：58 / 62

页数：5

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