Arbitrage and approximate arbitrage: the fundamental theorem of asset pricing

DOI10.1080/17442500903251824MaRDI QIDQ3585329zbMATH OpenOpenAlexFDO

Authors Bernard Wong, Christopher C. Heyde

Publication date 19 August 2010

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442500903251824

zbMATH Keywords

arbitrageequivalent local martingale measureslocal martingale

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70) Financial applications of other theories (91G80)

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Cites work

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• Arbitrage approximation theory
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Cited in

(20)

• Arbitrage theory. Introductory lectures on arbitrage-based financial asset pricing
• A general version of the fundamental theorem of asset pricing
• Local martingales and the fundamental asset pricing theorems in the discrete-time case
• A computational approach to the fundamental theorem of asset pricing in a single-period market
• Discrete-time market models from the small investor point of view and the first fundamental-type theorem
• Arbitrage approximation theory
• The arbitrage pricing theorem with incomplete preferences
• A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing
• On ``A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing
• The two fundamental theorems of asset pricing for a class of continuous-time financial markets
• A fundamental theorem of asset pricing in continuous time with square integrable portfolios
• scientific article; zbMATH DE number 1487969 (Why is no real title available?)
• scientific article; zbMATH DE number 1559483 (Why is no real title available?)
• Fundamental Theorems of Asset Pricing for Good Deal Bounds
• On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang‐Bang No‐Arbitrage Criteria
• scientific article; zbMATH DE number 852305 (Why is no real title available?)
• scientific article; zbMATH DE number 6169020 (Why is no real title available?)
• THE FUNDAMENTAL THEOREMS OF ASSET PRICING AND THE CLOSED-END FUND PUZZLE
• An elementary proof of the Dalang–Morton–Willinger theorem
• Arbitrage theory in a market of stochastic dimension

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