Characterization of arbitrage-free markets

DOI10.1214/105051604000000558zbMath1071.60061arXivmath/0503473OpenAlexW1991872301MaRDI QIDQ1774213

Eva Strasser

Publication date: 29 April 2005

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0503473

zbMATH Keywords

continuous semimartingalesno-arbitragesupermartingale densitieslocal martingale measures

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05)

Related Items

Volatility measurement with pockets of extreme return persistence ⋮ Hedging for the long run ⋮ Diffusion-Based Models for Financial Markets Without Martingale Measures ⋮ WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS

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