Projective system approach to the martingale characterization of the absence of arbitrage

DOI10.1016/S0304-4068(02)00036-8MaRDI QIDQ1864984zbMATH OpenFDO

Authors Miguel Mirás, M. J. Muñoz-Bouzo, Alejandro Balbás

Publication date 23 March 2003

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

Full work available at URL https://doi.org/10.1016/S0304-4068(02)00036-8

zbMATH Keywords

absence of arbitrageasset pricingmartingale measureperfect measuresprojective systems

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cites work

• A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
• Equivalent martingale measures and no-arbitrage
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• scientific article; zbMATH DE number 796435 (Why is no real title available?)
• Local martingales and the fundamental asset pricing theorems in the discrete-time case
• MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON
• Martingales and arbitrage in multiperiod securities markets
• Measures on topological spaces
• On compact measures
• On quasi-compact measures
• On the fundamental theorem of asset pricing with an infinite state space
• Projective limits of perfect measure spaces
• The analysis of finite security markets using martingales
• The characteristic function of a sequence of sets and some of its applications
• The fundamental theorem of asset pricing for unbounded stochastic processes
• The fundamental theorem of asset pricing with cone constraints

Cited in

(5)

• Stochastic measures of arbitrage.
• No-arbitrage of second kind in countable markets with proportional transaction costs
• Infinitely many securities and the fundamental theorem of asset pricing
• Risk-neutral valuation with infinitely many trading dates
• Martingales and arbitrage: a new look

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