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Market viability via absence of arbitrage of the first kind

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

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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
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
Sets: Departments > Statistics
Collections > Economists Online
Date Deposited: 30 Jul 2012 13:32
Last Modified: 20 Sep 2021 02:48
URI: http://eprints.lse.ac.uk/id/eprint/44995

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