Market viability via absence of arbitrage of the first kind

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. Copyright Springer-Verlag 2012

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Year of publication:	2012
Authors:	Kardaras, Constantinos
Published in:	Finance and Stochastics. - Springer. - Vol. 16.2012, 4, p. 651-667
Publisher:	Springer
Subject:	Arbitrage of the first kind \| Cheap thrills \| Fundamental theorem of asset pricing \| Equivalent local martingale deflators \| Semimartingales \| Predictable characteristics

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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