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Arbitrage theory in a market of stochastic dimension

Bayraktar, Erhan; Kim, Donghan; Tilva, Abhishek - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 847-895

Persistent link: https://www.econbiz.de/10014565276

Supermartingale deflators in the absence of a numéraire

Harms, Philipp; Liu, Chong; Neufeld, Ariel - In: Mathematics and financial economics 15 (2021) 4, pp. 885-915

Persistent link: https://www.econbiz.de/10012616862

Pricing and valuation under the real-world measure

Frahm, Gabriel - In: International journal of theoretical and applied finance 19 (2016) 1, pp. 1-39

Persistent link: https://www.econbiz.de/10011453878

Arbitrage concepts under trading restrictions in discrete-time financial markets

Fontana, Claudio; Runggaldier, Wolfgang J. - In: Journal of mathematical economics 92 (2021), pp. 66-80

Persistent link: https://www.econbiz.de/10012654141

Arbitrage and state price deflators in a general intertemporal framework

Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2005

In securities markets, the characterization of the absence of arbitrage by the existence of state price deflators is generally obtained through the use of the Kreps–Yan theorem.This paper deals with the validity of this theorem (see Kreps, D.M., 1981. Arbitrage and equilibrium in economies...

Persistent link: https://www.econbiz.de/10011073862