反射几何布朗运动的套利问题
Arbitrage Problems with Reflected Geometric Brownian Motion
摘要：
与几位作者的主张相反，风险证券的价格遵循反射几何布朗运动的金融市场模型不是无仲裁的。事实上，这种模型甚至违反了文献中考虑的最弱的无套利条件。因此，他们不承认数字投资组合或等价的风险中性概率测度，这使得他们完全不适合或有债权估值。毫不奇怪，这些模型的期权定价公式违反了教科书中的无套利界限。
英文摘要：
Contrary to the claims made by several authors, a financial market model in which the price of a risky security follows a reflected geometric Brownian motion is not arbitrage-free. In fact, such models violate even the weakest no-arbitrage condition considered in the literature. Consequently, they do not admit numéraire portfolios or equivalent risk-neutral probability measures, which makes them totally unsuitable for contingent claim valuation. Unsurprisingly, the published option pricing formulae for such models violate textbook no-arbitrage bounds.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
