The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete … financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator …

. In such a model, we prove that the absence of arbitrage condition implies the existence of a discount rate and a …

price a given asset : the arbitrage approach through the existence of a risk-neutral density, the utility approach through a …

markets are assumed to be frictionless. The main result is that a price process is arbitrage free (or, equivalently … probability measure. The theory of pricing by arbitrage floows from there. Contingent claims can be priced by taking their … arbitrage. The new probabilities can be interpreted as state prices or as the intertemporal marginal ratyes of substitution of …

existence of an equivalent martingale measure. We also show that the only arbitrage-free pricing rules on the set of attainable …

In securities markets, the characterization of the absence of arbitrage by the existence of state price deflators is ….M., 1981. Arbitrage and equilibrium in economies with infinitely many commodities. Journal of Mathematical Economics 8, 15 …-like condition”.We apply this result to the characterization of the no-arbitrage assumption in a general intertemporal framework. …

In this paper we derive the implications of the absence of arbitrage in securities markets models where traded … price system is arbitrage free if and only if there exists a numeraire and an equivalent probability measure for which the … normalized (by the numeraire) price processes of traded securities are supermartingales. Also, the tightest arbitrage bounds that …

to arbitrage opportunities, options markets agree on prices which are close but significantly and systematically …

We derive the implications from the absence of arbitrage in dynamic securities markets with bid-ask spreads. The … absence of arbitrage is equivalent to the existence of at least an equivalent probability measure that transforms some process …

In Jouini and Kallal (1995a), the authors characterized the absence of arbitrage opportunities for contingent claims … implications from the no-arbitrage assumption on the price functionals that generalizes all the previous results in a very general …