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 …

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 …

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. …

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

quite general framework, we show that the assumption of no-arbitrage is essentially equivalent to the existence of a … the no-arbitrage condition in these imperfect models, from which it is easy to derive pricing formulae for contingent …

In this paper, we study securities market models with fixed costs. We characterize the absence of arbitrage … models, which present arbitrage opportunities in the absence of fixed costs.In particular, we prove that the quite striking … result obtained by Dybvig, Ingersoll and Ross (1996), which asserts that, under the assumption of absence of arbitrage, long …