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

DOI10.1016/0304-4149(95)00067-4zbMath0849.60041OpenAlexW2104815277MaRDI 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 measureno-arbitragesecurity market

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

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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, The fundamental theorem of asset pricing in the presence of bid-ask and interest rate spreads, THE EFFECT OF TRADING FUTURES ON SHORT SALE CONSTRAINTS, The fundamental theorem of asset pricing with cone constraints

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• A generalization of a problem of Steinhaus