摘要翻译：
严格局部鞅可能承认关于简单交易策略类的套利机会。（由于在此框架中不可能使用加倍策略，因此并不假定损失从下至下是有界的。）我们证明了对于一类非负严格局部鞅，强Markov性质蕴涵着关于简单交易策略类的无套利性质。这一结果可以看作是文[3]关于三维贝塞尔过程的类似结果的推广。在有卖空限制的简单交易策略类中，我们也证明了随机过程不存在套利条件。
---
英文标题：
《No Arbitrage Conditions For Simple Trading Strategies》
---
作者：
Erhan Bayraktar, Hasanjan Sayit
---
最新提交年份：
2009
---
分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
--
一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
--

---
英文摘要：
  Strict local martingales may admit arbitrage opportunities with respect to the class of simple trading strategies. (Since there is no possibility of using doubling strategies in this framework, the losses are not assumed to be bounded from below.) We show that for a class of non-negative strict local martingales, the strong Markov property implies the no arbitrage property with respect to the class of simple trading strategies. This result can be seen as a generalization of a similar result on three dimensional Bessel process in [3]. We also pro- vide no arbitrage conditions for stochastic processes within the class of simple trading strategies with shortsale restriction.
---
PDF链接：
https://arxiv.org/pdf/0801.4047