A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing
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Publication:2811116
DOI10.1080/17442508.2014.895358zbMath1337.91153arXiv1311.7027OpenAlexW2071244694MaRDI QIDQ2811116
Publication date: 10 June 2016
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1311.7027
arbitragecomplete marketfundamental theorem of asset pricingmartingale deflatorItô-processequivalent local martingale measure
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Cites Work
- Mathematical methods for financial markets.
- The fundamental theorem of asset pricing for unbounded stochastic processes
- A general version of the fundamental theorem of asset pricing
- Arbitrage possibilities in Bessel processes and their relations to local martingales
- A necessary and sufficient condition for absence of arbitrage with tame portfolios
- Diffusion-Based Models for Financial Markets Without Martingale Measures
- THE TWO FUNDAMENTAL THEOREMS OF ASSET PRICING FOR A CLASS OF CONTINUOUS-TIME FINANCIAL MARKETS
- Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing
- The Economic Plausibility of Strict Local Martingales in Financial Modelling
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- NO-FREE-LUNCH EQUIVALENCES FOR EXPONENTIAL LÉVY MODELS UNDER CONVEX CONSTRAINTS ON INVESTMENT
- WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS
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