Arbitrage problems with reflected geometric Brownian motion
指出，当风险资产价格服从反射几何布朗运动时，市场模型存在套利机会，甚至违反最弱的无套利条件，因此无法用于期权定价。
Abstract 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 unsuitable for contingent claim valuation. Unsurprisingly, the published option pricing formulae for such models violate classical no-arbitrage bounds.