NO-FREE-LUNCH EQUIVALENCES FOR EXPONENTIAL LÉVY MODELS UNDER CONVEX CONSTRAINTS ON INVESTMENT

DOI10.1111/j.1467-9965.2009.00363.xzbMath1168.91368arXiv0803.2169OpenAlexW2013068337MaRDI QIDQ3393967

Constantinos Kardaras

Publication date: 28 August 2009

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0803.2169

zbMATH Keywords

equivalent martingale measurefundamental theorem of asset pricingexponential Lévy modelsconvex constraintssupermartingale deflatorsfree lunches

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

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