Projective system approach to the martingale characterization of the absence of arbitrage

DOI10.1016/S0304-4068(02)00036-8zbMath1031.91028MaRDI QIDQ1864984

María José Muñoz-Bouzo, Miguel ángel Mirás, Alejandro Balbas

Publication date: 23 March 2003

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

zbMATH Keywords

asset pricingmartingale measureabsence of arbitrageperfect measuresprojective systems

Mathematics Subject Classification ID

Related Items (2)

Risk-neutral valuation with infinitely many trading dates ⋮ Stochastic measures of arbitrage.

Cites Work

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• The analysis of finite security markets using martingales
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• On compact measures
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