Equivalent martingale measures and no-arbitrage

DOI10.1080/17442509408833943zbMATH Open0851.60042OpenAlexW1971031514MaRDI QIDQ4885236FDOQ4885236

Authors: L. C. G. Rogers 

Publication date: 4 November 1996

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509408833943

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zbMATH Keywords

utilityequivalent martingale measurearbitragerisk-neutral measure

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44)

Cites Work

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• Martingales and arbitrage in multiperiod securities markets
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• Martingales and stochastic integrals in the theory of continuous trading
• Multiperiod security markets with differential information
• Arbitrage and equilibrium in economies with infinitely many commodities
• A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
• MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON
• Title not available (Why is that?)
• On the fundamental theorem of asset pricing with an infinite state space

Cited In (34)

• Characterizing attainable claims: a new proof
• Projective system approach to the martingale characterization of the absence of arbitrage
• The fundamental theorem of asset pricing under default and collateral in finite discrete time
• Arbitrage concepts under trading restrictions in discrete-time financial markets
• The Black–Scholes equation in the presence of arbitrage
• A note on the condition of no unbounded profit with bounded risk
• The Harrison-Pliska arbitrage pricing theorem under transaction costs
• A general version of the fundamental theorem of asset pricing
• Local martingales in discrete time
• The Dalang-Morton-Willinger theorem under cone constraints.
• Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
• An elementary proof of the Dalang–Morton–Willinger theorem
• A Guaranteed Deterministic Approach to Superhedging: The Relationship between the Deterministic and Probabilistic Problem Statements without Trading Constraints
• Market viability via absence of arbitrage of the first kind
• On the semimartingale property of discounted asset-price processes
• FTAP in finite discrete time with transaction costs by utility maximization
• Arbitrage and approximate arbitrage: the fundamental theorem of asset pricing
• Coherent risk measure on \(L^0\): NA condition, pricing and dual representation
• On the existence of equivalent \(\tau\)-measures in finite discrete time
• Absence of arbitrage in a general framework
• Consistent price systems and face-lifting pricing under transaction costs
• On utility maximization in discrete-time financial market models
• No-arbitrage with multiple-priors in discrete time
• On the existence and characterization of arbitrage–free measure in contingent claim valuation
• Title not available (Why is that?)
• No arbitrage without semimartingales
• Title not available (Why is that?)
• Title not available (Why is that?)
• A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
• Arbitrage and control problems in finance. A presentation
• A study of the absence of arbitrage opportunities without calculating the risk-neutral probability
• Fair valuation of cliquet-style return guarantees in (homogeneous and) heterogeneous life insurance portfolios
• Special issue: Arbitrage and control problems in finance
• Martingale Schrödinger bridges and optimal semistatic portfolios

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