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A note on asymptotic exponential arbitrage with exponentially decaying failure probability
Asymptotic exponential arbitrage large deviations continuous semimartingale model.
2012/9/14
The goal of this paper is to prove a result conjectured in F¨ollmer and Schachermayer [FS07], even in slightly more general form. Suppose that Sis a continuous semimartingale and satisfies a large dev...