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PROJECTIVE SYSTEM APPROACH TO THE MARTINGALE CHARACTERIZATION OF THE ABSENCE OF ARBITRAGE

The equivalence between the absence of arbitrage and the existence of an equivalent martingale measure fails when an infinite number of trading dates is considered. By enlarging the set of states of nature and the probability measure through a projective system of topological spaces and Radon measures, we characterize the absence of arbitrage when the time set is countable.
Year of publication:
2001-03
Authors: Balbás, Alejandro ; Mirás, Miguel Ángel ; Muñoz-Bouzo, María José
Institutions: Departamento de Economía de la Empresa, Universidad Carlos III de Madrid
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application/pdf
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Type of publication: Book / Working Paper
Language: English
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Persistent link: https://www.econbiz.de/10005249574
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