Kardaras, Constantinos ORCID: 0000-0001-6903-4506
(2012)
Market viability via absence of arbitrage of the first kind.
Finance and Stochastics, 16 (4).
pp. 651-667.
ISSN 0949-2984
Identification Number: 10.1007/s00780-012-0172-5
Abstract
It is shown that, in a semimartingale financial market model, there is equivalence between absence of arbitrage of the first kind (a weak viability condition) and the existence of a strictly positive process that acts as a local martingale deflator on nonnegative wealth processes.
Item Type: | Article |
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Official URL: | http://www.springerlink.com/content/101164/ |
Additional Information: | © 2012 Springer |
Divisions: | Statistics |
Subjects: | H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory |
JEL classification: | G - Financial Economics > G1 - General Financial Markets > G10 - General |
Date Deposited: | 30 Jul 2012 13:32 |
Last Modified: | 02 Jul 2024 19:15 |
URI: | http://eprints.lse.ac.uk/id/eprint/44995 |
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