THE EXISTENCE OF ABSOLUTELY CONTINUOUS LOCAL MARTINGALE MEASURES

被引：79

作者：

Delbaen, Freddy ^{[1
]}

Schachermayer, Walter

机构：

[1] Vrije Univ Brussel, Inst Actuarial Studies, B-1050 Brussels, Belgium

来源：

ANNALS OF APPLIED PROBABILITY | 1995年 / 5卷 / 04期

关键词：

Arbitrage; immediate arbitrage; martingale; local martingale; equivalent martingale measure; representing measure; risk neutral measure; stochastic integration; mathematical finance; predictable Radon-Nikodym derivative;

D O I：

10.1214/aoap/1177004600

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We investigate the existence of an absolutely continuous martingale measure. For continuous processes we show that the absence of arbitrage for general admissible integrands implies the existence of an absolutely continuous (not necessarily equivalent) local martingale measure. We also rephrase Radon-Nikodym theorems for predictable processes.

引用

页码：926 / 945

页数：20

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