Equivalent martingale measures and no-arbitrage

DOI10.1080/17442509408833943zbMath0851.60042OpenAlexW1971031514MaRDI QIDQ4885236

L. C. G. Rogers

Publication date: 4 November 1996

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509408833943

zbMATH Keywords

utilityequivalent martingale measurearbitragerisk-neutral measure

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

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Cites Work

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• Multiperiod security markets with differential information
• Martingales and arbitrage in multiperiod securities markets
• Arbitrage and equilibrium in economies with infinitely many commodities
• 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
• On the fundamental theorem of asset pricing with an infinite state space
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON

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