A remark on arbitrage and martingale measure
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Publication:1318889
DOI10.2977/prims/1195166576zbMath0807.90009OpenAlexW2076907650MaRDI QIDQ1318889
Publication date: 1 March 1995
Published in: Publications of the Research Institute for Mathematical Sciences, Kyoto University (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2977/prims/1195166576
option pricingOrlicz spacesMackey topologyabsence of arbitrageexistence of an equivalent martingale measure
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On discontinuity and tail behaviours of the integrated density of states for nested pre-fractals ⋮ A general version of the fundamental theorem of asset pricing ⋮ Analysis on fractal objects ⋮ Homogenization of nested fractals ⋮ Distributions with heavy tails in Orlicz spaces ⋮ A note on the condition of no unbounded profit with bounded risk ⋮ A trace theorem for the Dirichlet form on the Sierpinski gasket ⋮ Market free lunch and large financial markets ⋮ Axiomatic regularity on metric spaces
Cites Work
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- Arbitrage et lois de martingale. (Arbitrage and martingale laws)
- Martingales and arbitrage in multiperiod securities markets
- A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
- A general version of the fundamental theorem of asset pricing
- Equivalent martingale measures and no-arbitrage in stochastic securities market models
- REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED
- MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON
- ARBITRAGE AND FREE LUNCH WITH BOUNDED RISK FOR UNBOUNDED CONTINUOUS PROCESSES
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