A note on the condition of no unbounded profit with bounded risk
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Cites work
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- scientific article; zbMATH DE number 927094 (Why is no real title available?)
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- A remark on arbitrage and martingale measure
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- Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing
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- MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON
- Market viability via absence of arbitrage of the first kind
- Martingale Measures For A Class of Right‐Continuous Processes
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Multiperiod security markets with differential information
- Optional decomposition and Lagrange multipliers
- Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
- REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED
- The fundamental theorem of asset pricing for unbounded stochastic processes
- The mathematics of arbitrage
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Cited in
(40)- Polynomial processes in stochastic portfolio theory
- On aggregation and representative agent equilibria
- Arbitrage-free pricing of derivatives in nonlinear market models
- On a Connection between Power and Logarithmic Utility Maximization Problems in the Exponential Lévy Model
- Market Models with Optimal Arbitrage
- Arbitrage of the first kind and filtration enlargements in semimartingale financial models
- Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire
- On arbitrages arising with honest times
- Locally \(\Phi\)-integrable \(\sigma\)-martingale densities for general semimartingales
- Characterisation of \(L^0\)-boundedness for a general set of processes with no strictly positive element
- Valuation and parities for exchange options
- Drift operator in a viable expansion of information flow
- The existence of dominating local martingale measures
- Stochastic integration with respect to arbitrary collections of continuous semimartingales and applications to mathematical finance
- Optimal consumption of multiple goods in incomplete markets
- Log-optimal portfolio without NFLVR: existence, complete characterization, and duality
- No arbitrage of the first kind and local martingale numéraires
- Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
- Optimal investment with intermediate consumption under no unbounded profit with bounded risk
- Martingale representation processes and applications in the market viability under information flow expansion
- How non-arbitrage, viability and numéraire portfolio are related
- On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration
- Duality for optimal consumption under no unbounded profit with bounded risk
- Arbitrage and utility maximization in market models with an insider
- The value of informational arbitrage
- Making no-arbitrage discounting-invariant: a new FTAP version beyond NFLVR and NUPBR
- No-arbitrage up to random horizon for quasi-left-continuous models
- No-arbitrage concepts in topological vector lattices
- Arbitrage theory in a market of stochastic dimension
- A note on the net profit condition for discrete and classical risk models
- A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing
- No arbitrage and multiplicative special semimartingales
- Shadow prices for continuous processes
- No-arbitrage under a class of honest times
- Large Financial Markets, Discounting, and No Asymptotic Arbitrage
- No-arbitrage in a numéraire-independent modeling framework
- Weak and strong no-arbitrage conditions for continuous financial markets
- No-arbitrage under additional information for thin semimartingale models
- Exploiting arbitrage requires short selling
- Structural stability threshold for the condition of robust no deterministic sure arbitrage with unbounded profit
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