The Dalang-Morton-Willinger theorem under cone constraints.

DOI10.1016/S0304-4068(02)00085-XzbMath1042.91031MaRDI QIDQ1394998

Clotilde Napp

Publication date: 25 June 2003

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

zbMATH Keywords

ArbitrageCone constraintsDalang--Morton--Willinger theoremShort sale constraints

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cites Work

• Arbitrage et lois de martingale. (Arbitrage and martingale laws)
• Martingales and stochastic integrals in the theory of continuous trading
• A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
• The fundamental theorem of asset pricing with cone constraints
• Local martingales and the fundamental asset pricing theorems in the discrete-time case
• Non-arbitrage criteria for financial markets with efficient friction
• Martingales and arbitage in securities markets with transaction costs
• On the existence of equivalent \(\tau\)-measures in finite discrete time
• ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• Equivalent martingale measures and no-arbitrage
• Pricing issues with investment flows. Applications to market models with frictions
• Arbitrage and investment opportunities
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