Numeraires, equivalent martingale measures and completeness in finite dimensional securities markets

DOI10.1016/S0304-4068(96)00779-3zbMath0883.90014MaRDI QIDQ1367852

Fulvio Ortu, Bruno Girotto

Publication date: 23 March 1998

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

zbMATH Keywords

completenessequivalent martingale measuresnumérairesinternalityArrow-Debreu state pricesstate-price deflators

Mathematics Subject Classification ID

Related Items (1)

On hedging in finite security markets

Cites Work

• Unnamed Item
• Information structures and viable price systems
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• A stochastic calculus model of continuous trading: Complete markets
• Existence of equivalent martingale measures in finite dimensional securities markets
• On the fundamental theorem of asset pricing with an infinite state space
• Changes of numéraire, changes of probability measure and option pricing

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