On the Existence of Equivalent Tau-Measures in Finite Discrete Time

Suppose that (X(n)) is a finite adapted sequence of d-dimensional random variables defined on some filtered probability space ( Omega, F, ( Fn),P ) . We obtain conditions which are necessary and sufficient for the existence of a probability measure Q equivalent to P ( which we call an equivalent pi-measure ) such that each of the d component sequences of (X(n)) has a prescibed martingale property w.r.t. Q ( i.e., it is either a Q-martingale, o Q-sub- or a Q-supermartingale). This extends a version of the Fundamental Theorem of Asset Pricing due to Dalang, Morton and Willinger (1990).

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Year of publication:	1994-10-01
Authors:	Schürger, Klaus
Publisher:	Sonderforschungsbereich Information und die Koordination Wirtschaftlicher Aktivitäten <Bonn>
Subject:	Statistik \| Wirtschaftsstatistik \| Economic statistics \| Stochastik

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Extent:	246784 bytes 22 p. application/pdf
Series:	Universität Bonn - Sonderforschungsbereich 303 - Discussion Papers ; 1994, B-297
Type of publication:	Book / Working Paper
Language:	English
Classification:	G13 - Contingent Pricing; Futures Pricing ; Corporate finance and investment policy. Other aspects ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005841376