Kardaras, Constantinos (2012) Market viability via absence of arbitrage of the first kind. Finance and stochastics, Online . ISSN 0949-2984
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 |
| Uncontrolled Keywords: | arbitrage of the first kind, cheap thrills, fundamental theorem of asset pricing, equivalent local martingale deflators, semimartingales, predictable characteristics |
| 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/rights/LSERO.htm |
| URL: | http://eprints.lse.ac.uk/44995/ |
Actions (login required)
 |
Record administration - authorised staff only |
