Market viability via absence of arbitrage of the first kind

被引：37

作者：

Kardaras, Constantinos ^{[1
]}

机构：

[1] Boston Univ, Dept Math & Stat, Boston, MA 02215 USA

来源：

FINANCE AND STOCHASTICS | 2012年 / 16卷 / 04期

关键词：

Arbitrage of the first kind; Cheap thrills; Fundamental theorem of asset pricing; Equivalent local martingale deflators; Semimartingales; Predictable characteristics; ASYMPTOTIC ARBITRAGE; FUNDAMENTAL THEOREM; MARTINGALES; BUBBLES;

D O I：

10.1007/s00780-012-0172-5

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

It is shown that, in a semimartingale financial market model, there is equivalence between absence of arbitrage of the first kind (a weak viability condition) and the existence of a strictly positive process that acts as a local martingale deflator on nonnegative wealth processes.

引用

页码：651 / 667

页数：17

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