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Market viability via absence of arbitrage of the first kind

Kardaras, Constantinos (2012) Market viability via absence of arbitrage of the first kind. Finance and Stochastics, 16 (4). pp. 651-667. ISSN 0949-2984

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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
Official URL: http://www.springerlink.com/content/101164/
Additional Information: © 2012 Springer
Library of Congress subject classification: H Social Sciences > HA Statistics
H Social Sciences > HB Economic Theory
Journal of Economic Literature Classification System: G - Financial Economics > G1 - General Financial Markets > G10 - General
Sets: Departments > Statistics
Collections > Economists Online
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 30 Jul 2012 13:32
URL: http://eprints.lse.ac.uk/44995/

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