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Courtault, Jean-Michel; Delbaen, Freddy; Kabanov, Yuri; … - In: Finance and Stochastics 8 (2004) 4, pp. 525-530

We consider the standard discrete-time model of a frictionless financial market and show that the law of one price holds if and only if there exists a martingale density process with strictly positive initial value. In contrast to the classical no-arbitrage criteria, this density process may...

Persistent link: https://www.econbiz.de/10005390695

On the law of one price

Courtault, Jean-Michael; Delbaen, Freddy; Kabanov, Jurij M. - In: Finance and stochastics 8 (2004) 4, pp. 525-530

Persistent link: https://www.econbiz.de/10002261465

Minimal entropy-Hellinger martingale measure in incomplete markets

Choulli, Tahir; Stricker, Christophe - In: Mathematical finance : an international journal of … 15 (2005) 3, pp. 465-490

Persistent link: https://www.econbiz.de/10002983174

Minimal Hellinger martingale measures of order q

Choulli, Tahir; Stricker, Christophe; Li, Jai - In: Finance and stochastics 11 (2007) 3, pp. 399-427

Persistent link: https://www.econbiz.de/10003485815

No arbitrage of the first kind and local martingale numéraires

Kabanov, Jurij M.; Kardaras, Constantinos; Song, Shiqi - In: Finance and stochastics 20 (2016) 4, pp. 1097-1108

Persistent link: https://www.econbiz.de/10011570475

On ruin probabilities with investments in a risky asset with a regime-switching price

Kabanov, Jurij M.; Pergamenščikov, Sergej M. - In: Finance and stochastics 26 (2022) 4, pp. 877-897

Persistent link: https://www.econbiz.de/10013440255