A remark on arbitrage and martingale measure

DOI10.2977/prims/1195166576zbMath0807.90009OpenAlexW2076907650MaRDI QIDQ1318889

Shigeo Kusuoka

Publication date: 1 March 1995

Published in: Publications of the Research Institute for Mathematical Sciences, Kyoto University (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2977/prims/1195166576

zbMATH Keywords

option pricingOrlicz spacesMackey topologyabsence of arbitrageexistence of an equivalent martingale measure

Mathematics Subject Classification ID

Related Items (9)

On discontinuity and tail behaviours of the integrated density of states for nested pre-fractals ⋮ A general version of the fundamental theorem of asset pricing ⋮ Analysis on fractal objects ⋮ Homogenization of nested fractals ⋮ Distributions with heavy tails in Orlicz spaces ⋮ A note on the condition of no unbounded profit with bounded risk ⋮ A trace theorem for the Dirichlet form on the Sierpinski gasket ⋮ Market free lunch and large financial markets ⋮ Axiomatic regularity on metric spaces

Cites Work

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• Arbitrage et lois de martingale. (Arbitrage and martingale laws)
• Martingales and arbitrage in multiperiod securities markets
• A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
• A general version of the fundamental theorem of asset pricing
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• REPRESENTING MARTINGALE MEASURES WHEN ASSET PRICES ARE CONTINUOUS AND BOUNDED
• MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON
• ARBITRAGE AND FREE LUNCH WITH BOUNDED RISK FOR UNBOUNDED CONTINUOUS PROCESSES

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