On the existence of equivalent \(\tau\)-measures in finite discrete time

DOI10.1016/0304-4149(95)00067-4zbMath0849.60041MaRDI QIDQ1915827

Klaus Schürger

Publication date: 7 November 1996

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(95)00067-4

zbMATH Keywords

equivalent martingale measure; no-arbitrage; security market

Mathematics Subject Classification ID

60G44: Martingales with continuous parameter

Related Items

The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads, The fundamental theorem of asset pricing with cone constraints, The Dalang-Morton-Willinger theorem under cone constraints., The fundamental theorem of asset pricing, the hedging problem and maximal claims in financial markets with short sales prohibitions

Cites Work

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• Equivalent martingale measures and no-arbitrage
• A generalization of a problem of Steinhaus